Existence of L\'evy term structure models
Mathematical Finance
2025-11-21 v1 Probability
Abstract
L\'evy driven term structure models have become an important subject in the mathematical finance literature. This paper provides a comprehensive analysis of the L\'evy driven Heath-Jarrow-Morton type term structure equation. This includes a full proof of existence and uniqueness in particular, which seems to have been lacking in the finance literature so far.
Cite
@article{arxiv.1907.03561,
title = {Existence of L\'evy term structure models},
author = {Damir Filipović and Stefan Tappe},
journal= {arXiv preprint arXiv:1907.03561},
year = {2025}
}
Comments
26 pages