A model of discontinuous interest rate behavior, yield curves, and volatility

DOI10.1007/s11147-008-9020-3zbMath1151.91668OpenAlexW2086975999MaRDI QIDQ941729

Steven L. Heston

Publication date: 2 September 2008

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-008-9020-3

zbMATH Keywords

Levy processInterest ratesYield curve

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

Related Items (1)

Generalized Inv-Log-Gamma-G processes

Cites Work

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• An equilibrium characterization of the term structure
• The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments
• A general characterization of one factor affine term structure models

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