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arXiv · 1907.03561

Existence of Lévy term structure models

Damir Filipović·Stefan Tappe
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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.

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Damir Filipović, Stefan Tappe. 2019-07-08. Existence of Lévy term structure models. https://doi.org/10.1007/s00780-007-0054-4

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