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A model of the term structure of interest rates based on Lévy fields. (English) Zbl 1151.91471

Summary: An extension of the Heath-Jarrow-Morton model for the development of instantaneous forward interest rates with deterministic coefficients and Gaussian as well as Lévy field noise terms is given. In the special case where the Lévy field is absent, one recovers a model discussed by D.P. Kennedy [Math. Finance 4, No.3, 247-258 (1994; Zbl 0884.90037)].

MSC:

91B28 Finance etc. (MSC2000)
60J75 Jump processes (MSC2010)
60H15 Stochastic partial differential equations (aspects of stochastic analysis)
60G51 Processes with independent increments; Lévy processes

Citations:

Zbl 0884.90037
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References:

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