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.
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License of this version: | 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. |
Publication type: | Article |
Publishing status: | publishedVersion |
Publication date: | 2012 |
Keywords english: | Affine realization, Invariant foliation, Lévy term structure model, Short-rate realization, Affine realization, Invariant foliation, Short-rate realization, Term structure, Industrial engineering, Engineering |
DDC: | 510 | Mathematik |
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