Term Structure Models Driven by Wiener Process and Poisson Measures: Existence and Positivity
| dc.creator | Filipovic, Damir | |
| dc.creator | Tappe, Stefan | |
| dc.creator | Teichmann, Josef | |
| dc.date | 2009-05-09 | |
| dc.date.accessioned | 2026-07-07T13:13:32Z | |
| dc.date.available | 2026-07-07T13:13:32Z | |
| dc.description | 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. This includes a full existence and uniqueness proof for the corresponding Heath--Jarrow--Morton type term structure equation. Furthermore, we characterize positivity preserving models by means of the characteristic coefficients, which was open for jump-diffusions. Additionally we treat existence, uniqueness and positivity of the Brody-Hughston equation of interest rate theory with jumps, an equation which we believe to be very useful for applications. A key role in our investigation is played by the method of the moving frame, which allows to transform the Heath--Jarrow--Morton--Musiela equation to a time-dependent SDE. | |
| dc.identifier | https://arxiv.org/abs/0905.1413 | |
| dc.identifier | http://arxiv.org/abs/0905.1413 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/229920 | |
| dc.subject | Probability | |
| dc.subject | 91B28, 60H15 | |
| dc.title | Term Structure Models Driven by Wiener Process and Poisson Measures: Existence and Positivity | |
| dc.type | text |