Correlations in Lévy interest rate models
Author:
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/14697688.2010.542299
Reference16 articles.
1. Infinite divisibility of the hyperbolic and generalized inverse Gaussian distributions
2. Application of Generalized Hyperbolic Lévy Motions to Finance
3. L�vy term structure models: No-arbitrage and completeness
4. Exact pricing formulae for caps and swaptions in a Lévy term structure model
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