Correlations in Lévy interest rate models

DOI10.1080/14697688.2010.542299zbMath1277.91178OpenAlexW1972872597MaRDI QIDQ2866364

Maximilian Beinhofer, Arend Janssen, Ernst Eberlein, Manuel Polley

Publication date: 13 December 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2010.542299

zbMATH Keywords

Lévy processcorrelation structuresinterest rate modellingcorrelation modellingLIBOR market modelsfixed-income markets

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items

A multiple-curve Lévy forward rate model in a two-price economy ⋮ Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model

Cites Work

• Interest rate models -- theory and practice. With smile, inflation and credit
• Lévy term structure models: no-arbitrage and completeness
• The Lévy LIBOR model
• Term Structure Models Driven by General Levy Processes
• A cross-currency Lévy market model
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Infinite divisibility of the hyperbolic and generalized inverse Gaussian distributions
• The Defaultable Lévy Term Structure: Ratings and Restructuring