Existence of Lévy term structure models

Abstract

Lévy driven term structure models have become an important subject in the mathematical finance literature. This paper provides a comprehensive analysis of the Lévy 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.

26 pages

References in corpus (2)

• Bilateral Gamma distributions and processes in financial mathematics
• Hypoellipticity in infinite dimensions and an application in interest rate theory

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