A model of the term structure of interest rates based on Lévy fields

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dc.creatorAlbeverio, Sergio
dc.creatorLytvynov, Eugene
dc.creatorMahnig, Andrea
dc.date2003-11-10
dc.date.accessioned2026-07-07T12:07:14Z
dc.date.available2026-07-07T12:07:14Z
dc.descriptionAn extension of the Heath--Jarrow--Morton model for the development of instantaneous forward interest rates with deterministic coefficients and Gaussian as well as Lévy field noise terms is given. In the special case where the Lévy field is absent, one recovers a model discussed by D.P.~Kennedy.
dc.identifierhttps://arxiv.org/abs/math/0311144
dc.identifierhttp://arxiv.org/abs/math/0311144
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208898
dc.subjectProbability
dc.subjectPricing of Securities
dc.subject91B28; 60J75; 60H15; 60G51
dc.titleA model of the term structure of interest rates based on Lévy fields
dc.typetext

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