Rational term structure models with geometric Lévy martingales

DOI10.1080/17442508.2012.689835zbMath1258.91211arXiv1012.1793OpenAlexW3102765787WikidataQ62272438 ScholiaQ62272438MaRDI QIDQ3145086

Dorje C. Brody, Ewan MacKie, Lane P. Hughston

Publication date: 13 December 2012

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1012.1793

zbMATH Keywords

Lévy processesasset pricinginterest rate modelling

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

THE AFFINE RATIONAL POTENTIAL MODEL ⋮ Randomised mixture models for pricing kernels ⋮ SOCIAL DISCOUNTING AND THE LONG RATE OF INTEREST

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Lévy random bridges and the modelling of financial information
• Martingale methods in financial modelling.
• Pricing contingent claims on stocks driven by Lévy processes
• On the range of options prices
• Towards a general theory of bond markets
• The cumulant process and Esscher's change of measure
• The minimal entropy martingale measures for geometric Lévy processes
• A chaotic approach to interest rate modelling
• Lévy term structure models: no-arbitrage and completeness
• Minimal entropy preserves the Lévy property: how and why
• Interest rates and information geometry
• Term Structure Models Driven by General Levy Processes
• A Theory of the Term Structure of Interest Rates
• FAST COMPUTATION OF VANILLA PRICES IN TIME-CHANGED MODELS AND IMPLIED VOLATILITIES USING RATIONAL APPROXIMATIONS
• Chaos and coherence: a new framework for interest–rate modelling
• OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS
• Term Structure Models Driven by Wiener Processes and Poisson Measures: Existence and Positivity
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Option Pricing With V. G. Martingale Components¹
• Interest Rate Option Pricing With Poisson‐Gaussian Forward Rate Curve Processes
• The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
• Bond Market Structure in the Presence of Marked Point Processes
• A note on the Flesaker-Hughston model of the term structure of interest rates
• Financial Modelling with Jump Processes
• Financial Derivatives in Theory and Practice
• The Variance Gamma Process and Option Pricing
• Dam rain and cumulative gain
• General theory of geometric Lévy models for dynamic asset pricing
• An equilibrium characterization of the term structure
• Option pricing when underlying stock returns are discontinuous
• Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
• VALUATION OF FLOATING RANGE NOTES IN LÉVY TERM‐STRUCTURE MODELS

This page was built for publication: Rational term structure models with geometric Lévy martingales