Existence of affine realizations for Lévy term structure models

Show simple item record

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
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
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
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


Files in this item

This item appears in the following Collection(s):

Show simple item record

 

Search the repository


Browse

My Account

Usage Statistics