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 …

We determine sufficient conditions on the volatility coefficient of Musiela's stochastic partial
differential equation driven by an infinite dimensional Lévy process so that it admits a unique …

The paper studies the Heath–Jarrow–Morton–Musiela equation of the bond market. The
equation is analyzed in weighted spaces of functions defined on [0,+∞). Sufficient …

For many people the behaviour of stock prices may appear to be unpredictable. The price
dynamics seem to exhibit no regularity. Although it might be hard to believe, mathematicians …

We study the behavior of the long-term yield in a HJM setting for forward rates driven by
Lévy processes. The long-term rates are investigated by examining continuously …

We investigate the properties of a rating migration process assuming that it is given by
subordination of a discrete time Markov chain and a Cox process. The problem of pricing of …

The paper is concerned with stochastic equations for the short rate process R,
dR(t)=F(R(t))dt+G(R(t-))dZ(t), in the affine model of the bond prices. The equation is driven …

In this paper, we generalize the approach of Hinz & Wilhelm (2006), Pricing flow commodity
derivatives using fixed income market techniques. International Journal of Theoretical and …

We give sufficient conditions for the existence, uniqueness and ergodicity of invariant
measures for Musiela's stochastic partial differential equation with deterministic volatility and …

The completeness of a bond market model with infinite number of sources of randomness on
a finite time interval in the Heath–Jarrow–Morton framework is studied. It is proved that the …