Exponential moments for HJM models with jumps

DOI10.1007/s00780-007-0040-xzbMath1164.60038OpenAlexW2087367740MaRDI QIDQ1003342

Jacek Yakubowski, Zabczyk, Jerzy

Publication date: 28 February 2009

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-007-0040-x

zbMATH Keywords

Lévy processesmartingalesHeath-Jarrow-Morton modelexponential momentsbond modelsdiscount bond pricesforward rate caveHeath-Jarrow-Morton postulate

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Large deviations (60F10)

Related Items (11)

Large deviation principle for semilinear stochastic evolution equations with Poisson noise ⋮ Kernel-correlated Lévy field driven forward rate and application to derivative pricing ⋮ On CIR Equations with General Factors ⋮ Existence of Lévy term structure models ⋮ CDO TERM STRUCTURE MODELLING WITH LÉVY PROCESSES AND THE RELATION TO MARKET MODELS ⋮ ON INCOMPLETENESS OF BOND MARKETS WITH INFINITE NUMBER OF RANDOM FACTORS ⋮ Forward rate models with linear volatilities ⋮ Heath-Jarrow-Morton-Musiela equation with Lévy perturbation ⋮ Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise ⋮ Markovian short rates in multidimensional term structure Lévy models ⋮ ELECTRICITY FUTURES PRICE MODELING WITH LÉVY TERM STRUCTURE MODELS

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