Heath-Jarrow-Morton-Musiela equation with Lévy perturbation

DOI10.1016/j.jde.2012.06.022zbMath1253.35185arXiv1512.04714OpenAlexW2964049883MaRDI QIDQ713347

Michał Barski, Zabczyk, Jerzy

Publication date: 26 October 2012

Published in: Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1512.04714

Mathematics Subject Classification ID

Existence problems for PDEs: global existence, local existence, non-existence (35A01) Auctions, bargaining, bidding and selling, and other market models (91B26) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (7)

Real-World Forward Rate Dynamics With Affine Realizations ⋮ Wiener-Poisson chaos expansion and numerical solutions of the Heath-Jarrow-Morton interest rate model ⋮ Kernel-based collocation methods for Heath–Jarrow–Morton models with Musiela parametrization ⋮ Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model ⋮ Monotonicity of the collateralized debt obligations term structure model ⋮ Compact embeddings for spaces of forward rate curves ⋮ Singular perturbations and asymptotic expansions for SPDEs with an application to term structure models

Cites Work

• Existence of Lévy term structure models
• Term-structure models. A graduate course
• Exponential moments for HJM models with jumps
• Towards a general theory of bond markets
• Forward rate models with linear volatilities
• Term Structure Models Driven by General Levy Processes
• LOCAL WELL-POSEDNESS OF MUSIELA’S SPDE WITH LÉVY NOISE
• Mean reversion for HJMM forward rate models
• Term Structure Models Driven by Wiener Processes and Poisson Measures: Existence and Positivity
• Comparison theorems for stochastic evolution equations
• Stochastic Partial Differential Equations with Levy Noise
• Consistency problems for Heath-Jarrow-Morton interest rate models

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