BEHAVIOR OF LONG-TERM YIELDS IN A LÉVY TERM STRUCTURE

DOI10.1142/S0219024914500162zbMath1292.91179MaRDI QIDQ5420696

Maximilian Härtel, Francesca Biagini

Publication date: 13 June 2014

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

zbMATH Keywords

Lévy processinterest rate theoryHJM modelinglong-term yields

Mathematics Subject Classification ID

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

Related Items (4)

SOCIAL DISCOUNTING AND THE LONG RATE OF INTEREST ⋮ Long-term yield in an affine HJM framework on \(S_{d}^{+}\) ⋮ Lévy-Ito models in finance ⋮ GENERAL ANALYSIS OF LONG-TERM INTEREST RATES

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