Exponential moments for HJM models with jumps

被引：12
作者：
Jakubowski, Jacek
Zabczyk, Jerzy
机构：
[1] Univ Warsaw, Inst Math, PL-02097 Warsaw, Poland
[2] Polish Acad Sci, Inst Math, PL-00956 Warsaw, Poland
来源：
FINANCE AND STOCHASTICS | 2007年 / 11卷 / 03期
关键词：
Levy processes; bond models; HJM postulate; martingales;
D O I：
10.1007/s00780-007-0040-x
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
General HJM models driven by a Levy process are considered. Necessary moment conditions for the discounted bond prices to be local martingales are derived. Under these moment conditions, it is proved that the discounted bond prices are local martingales if and only if a generalized HJM condition holds.
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收藏
页码：429 / 445
页数：17
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