most citedTerm Structure Models Driven by Wiener Process and Poisson Measures: Existence and Positivity

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math.PR2009★ 2 cited

Term Structure Models Driven by Wiener Process and Poisson Measures: Existence and Positivity

Damir Filipovic, Stefan Tappe, Josef Teichmann

In the spirit of Björk-DiMasi-Kabanov-Runggaldier, we investigate term structure models driven by Wiener process and Poisson measures with forward curve dependent volatilities. Thi…