Term Structure Models Driven by Wiener Processes and Poisson Measures: Existence and Positivity

DOI10.1137/090758593zbMath1207.91068arXiv0905.1413OpenAlexW2081063124MaRDI QIDQ3580036

Damir Filipović, Stefan Tappe, Josef Teichmann

Publication date: 11 August 2010

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0905.1413

zbMATH Keywords

existenceHilbert spaceterm structure modelsPoisson random measurepositivity preservingforward curvesMusiela parametrization,infinite dimensional Wiener process

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (31)

Exponential moment bounds and strong convergence rates for tamed-truncated numerical approximations of stochastic convolutions ⋮ Alpha-CIR model with branching processes in sovereign interest rate modeling ⋮ A general HJM framework for multiple yield curve modelling ⋮ On the mild Itô formula in Banach spaces ⋮ Bond and option pricing for interest rate model with clustering effects ⋮ Itô formula for mild solutions of SPDEs with Gaussian and non-Gaussian noise and applications to stability properties ⋮ Kernel-correlated Lévy field driven forward rate and application to derivative pricing ⋮ Invariance of closed convex cones for stochastic partial differential equations ⋮ Some refinements of existence results for SPDEs driven by Wiener processes and Poisson random measures ⋮ Representation of infinite-dimensional forward price models in commodity markets ⋮ Forward invariance and Wong-Zakai approximation for stochastic moving boundary problems ⋮ On CIR Equations with General Factors ⋮ Iterative algorithms for computing the feedback Nash equilibrium point for positive systems ⋮ Stochastic mortality models: an infinite-dimensional approach ⋮ CONDITIONAL DENSITY MODELS FOR ASSET PRICING ⋮ Affine processes are regular ⋮ A NOTE ON REAL-WORLD AND RISK-NEUTRAL DYNAMICS FOR HEATH–JARROW–MORTON FRAMEWORKS ⋮ Credit Derivatives Pricing Based on Lévy Field Driven Term Structure ⋮ Tangent Lévy market models ⋮ Forward rate models with linear volatilities ⋮ Heath-Jarrow-Morton-Musiela equation with Lévy perturbation ⋮ Infinite-dimensional polynomial processes ⋮ On a class of stochastic partial differential equations with multiple invariant measures ⋮ Stochastic evolution equations in Banach spaces and applications to the Heath-Jarrow-Morton-Musiela equations ⋮ Lévy-Ito models in finance ⋮ On a Heath-Jarrow-Morton approach for stock options ⋮ Monotonicity of the collateralized debt obligations term structure model ⋮ Exponential moments for numerical approximations of stochastic partial differential equations ⋮ Compact embeddings for spaces of forward rate curves ⋮ Singular perturbations and asymptotic expansions for SPDEs with an application to term structure models ⋮ Rational term structure models with geometric Lévy martingales

This page was built for publication: Term Structure Models Driven by Wiener Processes and Poisson Measures: Existence and Positivity