A model of the term structure of interest rates based on Levy fields

被引：14

作者：

Albeverio, S

Lytvynov, E

Mahnig, A

机构：

[1] Univ Coll Swansea, Dept Math, Swansea SA2 8PP, W Glam, Wales

[2] Univ Bonn, Inst Angew Math, D-53115 Bonn, Germany

[3] Univ Bonn, D-5300 Bonn, Germany

[4] CERFIM, Locarno, Switzerland

[5] USI, Accad Architettura, Mendrisio, Switzerland

[6] Univ Bielefeld, BiBoS, D-4800 Bielefeld, Germany

[7] Univ Coll Swansea, Dept Math, Swansea SA2 8PP, W Glam, Wales

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2004年 / 114卷 / 02期

关键词：

term structure of interest rates; Levy fields; HJM model; Kennedy model;

D O I：

10.1016/j.spa.2004.06.006

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

An extension of the Heath-Jarrow-Morton model for the development of instantaneous forward interest rates with deterministic coefficients and Gaussian as well as Levy field noise terms is given. In the special case where the Levy field is absent, one recovers a model discussed by D.P. Kennedy. (C) 2004 Elsevier B.V. All rights reserved.

引用

页码：251 / 263

页数：13

共 19 条

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Adler R. J., 1981, GEOMETRY RANDOM FIEL

[2]

[Anonymous], T AM MATH SOC

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