Heath–Jarrow–Morton–Musiela equation with Lévy perturbation-Reference-Cited by-同舟云学术

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Heath–Jarrow–Morton–Musiela equation with Lévy perturbation

Published:2012-11 Issue:9 Volume:253 Page:2657-2697
ISSN:0022-0396
Container-title:Journal of Differential Equations
language:en
Short-container-title:Journal of Differential Equations

Author:

Barski Michał,Zabczyk Jerzy

Publisher

Elsevier BV

Subject

Analysis,Applied Mathematics

Reference19 articles.

1. Forward rate models with linear volatility;Barski;Finance Stoch.,2012

2. Towards a general theory of bond markets;Björk;Finance Stoch.,1997

3. Term structure models driven by general Lévy processes;Eberlein;Math. Finance,1999

4. Existence of Lévy term structure models;Filipović;Finance Stoch.,2008

Cited by 35 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. Singular perturbations and asymptotic expansions for SPDEs with an application to term structure models;Journal of Differential Equations;2023-01

2. Kernel-based collocation methods for Heath–Jarrow–Morton models with Musiela parametrization;Stochastics;2020-09-16

3. Index;Mathematics of the Bond Market: A Lévy Processes Approach;2020-04-30

4. Appendix C;Mathematics of the Bond Market: A Lévy Processes Approach;2020-04-30

5. Appendix B;Mathematics of the Bond Market: A Lévy Processes Approach;2020-04-30

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