On the valuation of compositions in Lévy term structure models

DOI10.1080/14697680902849346zbMath1182.91184arXiv0902.3456OpenAlexW2066784207MaRDI QIDQ3404105

Antonis Papapantoleon, Wolfgang Kluge

Publication date: 5 February 2010

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

Full work available at URL: https://arxiv.org/abs/0902.3456

zbMATH Keywords

Lévy processaffine term structure modelsinterest rate modellingapplied mathematical finance

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) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38)

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