A NOTE ON REAL-WORLD AND RISK-NEUTRAL DYNAMICS FOR HEATH–JARROW–MORTON FRAMEWORKS

DOI10.1142/S021902492050020XzbMath1447.91185arXiv1607.03086OpenAlexW3033568129MaRDI QIDQ3304208

David Criens

Publication date: 5 August 2020

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.03086

zbMATH Keywords

stochastic partial differential equationschange of measureLévy term structure modelsHeath-Jarrow-Morton frameworkreal-world dynamicsrisk-neutral dynamics

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (2)

An elliptic Harnack inequality for difference equations with random balanced coefficients ⋮ Quenched local central limit theorem for random walks in a time-dependent balanced random environment

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