Existence of affine realizations for Lévy term structure models

Abstract

We investigate the existence of affine realizations for term structure models driven by Lévy processes. It turns out that we obtain more severe restrictions on the volatility than in the classical diffusion case without jumps. As special cases, we study constant direction volatilities and the existence of short rate realizations.

arXiv comment16 pages

References in corpus (3)

• Existence of Lévy term structure models
• Hypoellipticity in infinite dimensions and an application in interest rate theory
• An alternative approach on the existence of affine realizations for HJM term structure models

Cited by in corpus (6)

• Real-world forward rate dynamics with affine realizations
• Affine realizations with affine state processes for stochastic partial differential equations
• The geometry of multi-curve interest rate models
• Foundations of the theory of semilinear stochastic partial differential equations
• Flatness of invariant manifolds for stochastic partial differential equations driven by Lévy processes
• Existence of affine realizations for stochastic partial differential equations driven by Lévy processes