Term Structure Models Driven by General Lévy Processes

• 1 January 1999
• journal article
• Published by Wiley in Mathematical Finance
• Vol. 9  (1) , 31-53
• https://doi.org/10.1111/1467-9965.00062

Abstract

Keywords

• TERM STRUCTURE MODELS
• MARTINGALE MODELING
• LÉVY PROCESS
• HYPERBOLIC LÉVY MOTION
• MARKOV PROPERTY
• VASICEK MODEL