Related papers: Existence of L\'evy term structure models
This paper gives examples of explicit arbitrage-free term structure models with L\'evy jumps via state price density approach. By generalizing quadratic Gaussian models, it is found that the probability density function of a L\'evy process…
A Lie algebra structure on variation vector fields along an immersed curve in a $2$-dimensional real space form is investigated. This Lie algebra particularized to plane curves is the cornerstone in order to define a Hamiltonian structure…
We present a dynamic model for forward curves within the Heath-Jarrow-Morton framework under the Musiela parametrization. The forward curves take values in a function space H, and their dynamics follows a stochastic partial differential…
We give sufficient conditions for existence, uniqueness and ergodicity of invariant measures for Musiela's stochastic partial differential equation with deterministic volatility and a Hilbert space valued driving L\'evy noise. Conditions…
In this paper we show how to approximate a Heath-Jarrow-Morton dynamics for the forward prices in commodity markets with arbitrage-free models which have a finite dimensional state space. Moreover, we recover a closed form representation of…
This is an introductory textbook to univalent mathematics and homotopy type theory, a mathematical foundation that takes advantage of the structural nature of mathematical definitions and constructions. It is common in mathematical practice…
The paper is devoted to the study of the short rate equation of the form $$ dR(t)=F(R(t)) dt +\sum_{i=1}^{d}G(R(t-))dZ_i(t)$$ with deterministic functions $F,G_1,...,G_d$ and a multivariate L\'evy process $Z=(Z_1,...,Z_d)$ with possibly…
The market practice of extrapolating different term structures from different instruments lacks a rigorous justification in terms of cash flows structure and market observables. In this paper, we integrate our previous consistent theory for…
We consider the problem of valuing a European option written on an asset whose dynamics are described by an exponential L\'evy-type model. In our framework, both the volatility and jump-intensity are allowed to vary stochastically in time…
This paper considers the single factor Heath-Jarrow-Morton model for the interest rate curve with stochastic volatility. Its natural formulation, described in terms of stochastic differential equations, is solved through Monte Carlo…
We provide a unified framework for modeling LIBOR rates using general semimartingales as driving processes and generic functional forms to describe the evolution of the dynamics. We derive sufficient conditions for the model to be…
One of the peculiarities of power and gas markets is the delivery mechanism of forward contracts. The seller of a futures contract commits to deliver, say, power, over a certain period, while the classical forward is a financial agreement…
A 'Liouville structure' is a structure isomorphic to a cotangent vector fibration. A Liouville structure is an essential ingredient of every variational formulation of a physical theory. For reasons of interpretation the Liouville structure…
Explicit constructions for the minimal models of general and unimodular L-infinity algebra structures are given using the BV-formalism of mathematical physics and the perturbative expansions of integrals. In particular, the general formulas…
We consider the problem of determining the L\'evy exponent in a L\'evy model for asset prices given the price data of derivatives. The model, formulated under the real-world measure $\mathbb P$, consists of a pricing kernel…
We present compelling empirical evidence for a new interpretation of the Forward Rate Curve (FRC) term structure. We find that the average FRC follows a square-root law, with a prefactor related to the spot volatility, suggesting a…
The intended model of the homotopy type theories used in Univalent Foundations is the infinity-category of homotopy types, also known as infinity-groupoids. The problem of higher structures is that of constructing the homotopy types needed…
The problem of completeness of the forward rate based bond market model driven by a L\'evy process under the physical measure is examined. The incompleteness of market in the case when the L\'evy measure has a density function is shown. The…
We set up a formalism of Maurer-Cartan moduli sets for L-infinity algebras and associated twistings based on the closed model category structure on formal differential graded algebras (a.k.a. differential graded coalgebras). Among other…
In this paper we present a rather general phenomenological theory of tick-by-tick dynamics in financial markets. Many well-known aspects, such as the L\'evy scaling form, follow as particular cases of the theory. The theory fully takes into…