SYMMETRIES IN LÉVY TERM STRUCTURE MODELS

DOI10.1142/S0219024906003809zbMath1138.91435OpenAlexW2127460459MaRDI QIDQ5487833

Antonis Papapantoleon, Ernst Eberlein, Wolfgang Kluge

Publication date: 12 September 2006

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

Full work available at URL: https://doi.org/10.1142/s0219024906003809

zbMATH Keywords

symmetryHeath-Jarrow-Morton modelchange of measuretime-inhomogeneous Lévy processesforward price modellibor model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

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