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Existence of Lévy term structure models

Research paper by Damir Filipović, Stefan Tappe

Indexed on: 17 Oct '07Published on: 17 Oct '07Published in: Finance and Stochastics



Abstract

Lévy driven term structure models have become an important subject in the mathematical finance literature. This paper provides a comprehensive analysis of the Lévy driven Heath–Jarrow–Morton type term structure equation. This includes a full proof of existence and uniqueness in particular, which seems to have been lacking in the finance literature so far.