What is the Natural Scale for a Lévy Process in Modelling Term Structure of Interest Rates?-Reference-Cited by-同舟云学术

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What is the Natural Scale for a Lévy Process in Modelling Term Structure of Interest Rates?

Published:2007-08-21 Issue:4 Volume:13 Page:299-313
ISSN:1387-2834
Container-title:Asia-Pacific Financial Markets
language:en
Short-container-title:Asia-Pacific Finan Markets

Author:

Akahori Jirô,Tsuchiya Takahiro

Publisher

Springer Science and Business Media LLC

Subject

Finance

Link

http://link.springer.com/content/pdf/10.1007/s10690-007-9046-9.pdf

Reference42 articles.

1. Ahn D.-H., Dittmar R.F., Gallant A.R. (2002) Quadratic term structure models: Theory and evidence. Review of Financial Studies 15(1): 243–288

2. Akahori J., Hara K. (2006) Lifting quadratic term structure models to infinite dimension. Mathematical Finance 16: 635–645

3. Albeverio S., Lytvynov E., Mahnig A. (2004) A model of the term structure of interest rates based on Lévy fields. Stochastic Processes and their Application 114, 251–263

4. Barndorff-Nielsen O.E. (1998) Processes of normal inverse Gaussian type. Finance and Stochastics 2, 41–68

5. Barndorff-Nielsen O.E., Levendorskiĭ S.Z. (2001) Feller processes of normal inverse Gaussian type. Quanttitative Finance 1, 318–331

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A heat kernel approach to interest rate models;Japan Journal of Industrial and Applied Mathematics;2014-05-17

2. HKA to Single Defaultable Bond;Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications;2011-05-05

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