Lévy term structure models: No-arbitrage and completeness

被引：0

作者：

Ernst Eberlein

Jean Jacod

Sebastian Raible

机构：

[1] University of Freiburg,Department of Mathematical Stochastics

[2] Université Pierre et Marie Curie,Laboratoire de Probabilités et Modéles aléatoires (CNRS UMR 7599)

来源：

Finance and Stochastics | 2005年 / 9卷

关键词：

Term structures; Lévy processes; no-arbitrage; completeness;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

The Lévy term structure model due to Eberlein and Raible is extended to non-homogeneous driving processes. The classes of equivalent martingale and local martingale measures for various filtrations are characterized. It turns out that in a number of standard situations the martingale measure is unique.

引用

页码：67 / 88

页数：21

共 50 条

[1] Levy term structure models: No-arbitrage and completeness
Eberlein, E
Jacod, J
Raible, S
FINANCE AND STOCHASTICS, 2005, 9 (01) : 67 - 88
[2] FRACTIONAL TERM STRUCTURE MODELS: NO-ARBITRAGE AND CONSISTENCY
Ohashi, Alberto
ANNALS OF APPLIED PROBABILITY, 2009, 19 (04): : 1553 - 1580
[3] Review of synthesis of no-arbitrage Gaussian term structure models
Chung, SL
CANADIAN JOURNAL OF ADMINISTRATIVE SCIENCES-REVUE CANADIENNE DES SCIENCES DE L ADMINISTRATION, 2002, 19 (02): : 184 - 196
[4] Interest Rate Volatility and No-Arbitrage Affine Term Structure Models
Joslin, Scott
Le, Anh
MANAGEMENT SCIENCE, 2021, 67 (12) : 7391 - 7416
[5] Information, no-arbitrage and completeness for asset price models with a change point
Fontana, Claudio
Grbac, Zorana
Jeanblanc, Monique
Li, Qinghua
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2014, 124 (09) : 3009 - 3030
[6] Accounting for a shift in term structure behavior with no-arbitrage and macro-finance models
Rudebusch, Glenn D.
Wu, Tao
JOURNAL OF MONEY CREDIT AND BANKING, 2007, 39 (2-3) : 395 - 422
[7] No-arbitrage, leverage and completeness in a fractional volatility model
Mendes, R. Vilela
Oliveira, M. J.
Rodrigues, A. M.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2015, 419 : 470 - 478
[8] Existence of Lévy term structure models
Damir Filipović
Stefan Tappe
Finance and Stochastics, 2008, 12 : 83 - 115
[9] THE MULTIVARIATE BLACK & SCHOLES MARKET: CONDITIONS FOR COMPLETENESS AND NO-ARBITRAGE
Dhaene, Jan
Kukush, Alexander
Linders, Daniel
THEORY OF PROBABILITY AND MATHEMATICAL STATISTICS, 2013, 88 : 76 - 89
[10] FORECASTING THE YIELD CURVE USING PRIORS FROM NO-ARBITRAGE AFFINE TERM STRUCTURE MODELS
Carriero, Andrea
INTERNATIONAL ECONOMIC REVIEW, 2011, 52 (02) : 425 - 459

← 1 2 3 4 5 →