Existence of Lévy term structure models
D Filipović, S Tappe - Finance and Stochastics, 2008 - Springer
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 …
finance literature. This paper provides a comprehensive analysis of the Lévy driven Heath …
LOCAL WELL‐POSEDNESS OF MUSIELA'S SPDE WITH LÉVY NOISE
C Marinelli - Mathematical Finance: An International Journal of …, 2010 - Wiley Online Library
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 …
differential equation driven by an infinite dimensional Lévy process so that it admits a unique …
Heath–Jarrow–Morton–Musiela equation with Lévy perturbation
M Barski, J Zabczyk - Journal of Differential Equations, 2012 - Elsevier
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 …
equation is analyzed in weighted spaces of functions defined on [0,+∞). Sufficient …
Stochastic partial differential equations: approximations and applications
A Barth - 2009 - duo.uio.no
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 …
dynamics seem to exhibit no regularity. Although it might be hard to believe, mathematicians …
Behavior of long-term yields in a Lévy term structure
F Biagini, M Härtel - International Journal of Theoretical and Applied …, 2014 - World Scientific
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 …
Lévy processes. The long-term rates are investigated by examining continuously …
Pricing bonds and CDS in the model with rating migration induced by a Cox process
J Jakubowski, M Niewęgłowski - Banach Center Publications, 2008 - infona.pl
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 …
subordination of a discrete time Markov chain and a Cox process. The problem of pricing of …
On CIR equations with general factors
M Barski, J Zabczyk - SIAM Journal on Financial Mathematics, 2020 - SIAM
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 …
dR(t)=F(R(t))dt+G(R(t-))dZ(t), in the affine model of the bond prices. The equation is driven …
Electricity futures price modeling with Lévy term structure models
F Biagini, J Bregman… - International Journal of …, 2015 - World Scientific
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 …
derivatives using fixed income market techniques. International Journal of Theoretical and …
Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise
C Marinelli - Quantitative Finance, 2010 - Taylor & Francis
We give sufficient conditions for the existence, uniqueness and ergodicity of invariant
measures for Musiela's stochastic partial differential equation with deterministic volatility and …
measures for Musiela's stochastic partial differential equation with deterministic volatility and …
On incompleteness of bond markets with infinite number of random factors
M Barski, J Jakubowski… - Mathematical Finance: An …, 2011 - Wiley Online Library
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 …
a finite time interval in the Heath–Jarrow–Morton framework is studied. It is proved that the …