dc.identifier.uri |
http://dx.doi.org/10.15488/2308 |
|
dc.identifier.uri |
http://www.repo.uni-hannover.de/handle/123456789/2334 |
|
dc.contributor.author |
Tappe, S.
|
|
dc.date.accessioned |
2017-11-17T08:34:59Z |
|
dc.date.available |
2017-11-17T08:34:59Z |
|
dc.date.issued |
2012 |
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dc.identifier.citation |
Tappe, S.: Existence of affine realizations for Lévy term structure models. In: Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences 468 (2012), Nr. 2147, S. 3685-3704. DOI: https://doi.org/10.1098/rspa.2012.0089 |
|
dc.description.abstract |
We investigate the existence of affine realizations for term structure models driven by Lévy processes. It turns out that we obtain more severe restrictions on the volatility than in the classical diffusion case without jumps. As special cases, we study constant direction volatilities and the existence of short-rate realizations. © 2012 The Royal Society. |
eng |
dc.language.iso |
eng |
|
dc.publisher |
London : Royal Society of London |
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dc.relation.ispartofseries |
Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences 468 (2012), Nr. 2147 |
|
dc.rights |
Es gilt deutsches Urheberrecht. Das Dokument darf zum eigenen Gebrauch kostenfrei genutzt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden. Dieser Beitrag ist aufgrund einer (DFG-geförderten) Allianz- bzw. Nationallizenz frei zugänglich. |
|
dc.subject |
Affine realization |
eng |
dc.subject |
Invariant foliation |
eng |
dc.subject |
Lévy term structure model |
eng |
dc.subject |
Short-rate realization |
eng |
dc.subject |
Affine realization |
eng |
dc.subject |
Invariant foliation |
eng |
dc.subject |
Short-rate realization |
eng |
dc.subject |
Term structure |
eng |
dc.subject |
Industrial engineering |
eng |
dc.subject |
Engineering |
eng |
dc.subject.ddc |
510 | Mathematik
|
ger |
dc.title |
Existence of affine realizations for Lévy term structure models |
|
dc.type |
Article |
|
dc.type |
Text |
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dc.relation.issn |
1364-5021 |
|
dc.relation.doi |
https://doi.org/10.1098/rspa.2012.0089 |
|
dc.bibliographicCitation.issue |
2147 |
|
dc.bibliographicCitation.volume |
468 |
|
dc.bibliographicCitation.firstPage |
3685 |
|
dc.bibliographicCitation.lastPage |
3704 |
|
dc.description.version |
publishedVersion |
|
tib.accessRights |
frei zug�nglich |
|