What is the natural scale for a Lévy process in modelling term structure of interest rates?

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dc.creatorAkahori, Jirô
dc.creatorTsuchiya, Takahiro
dc.date2006-12-13
dc.date.accessioned2026-07-07T12:11:21Z
dc.date.available2026-07-07T12:11:21Z
dc.descriptionThis paper gives examples of explicit arbitrage-free term structure models with Lévy jumps via state price density approach. By generalizing quadratic Gaussian models, it is found that the probability density function of a Lévy process is a "natural" scale for the process to be the state variable of a market.
dc.identifierhttps://arxiv.org/abs/math/0612341
dc.identifierhttp://arxiv.org/abs/math/0612341
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210192
dc.subjectProbability
dc.subjectComputational Finance
dc.subject91B70, 60G52
dc.titleWhat is the natural scale for a Lévy process in modelling term structure of interest rates?
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