A model of the term structure of interest rates based on Lévy fields

Details A model of the term structure of interest rates based on Lévy fields A model of the term structure of interest rates based on Lévy fields

2003-11-10

arxiv.org/abs/math/0311144v1

Mathematics

Probability

Scientific paper

An extension of the Heath--Jarrow--Morton model for the development of
instantaneous forward interest rates with deterministic coefficients and
Gaussian as well as L\'evy field noise terms is given. In the special case
where the L\'evy field is absent, one recovers a model discussed by
D.P.~Kennedy.

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