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.

16 pages

References in corpus (2)

• 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