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2005-10-12Buch DOI: 10.18452/3561
Markovian short rates in a forward rate model with ageneral class of Lévy processes
dc.contributor.authorKüchler, Uwe
dc.contributor.authorNaumann, Eva
dc.date.accessioned2017-06-15T21:23:37Z
dc.date.available2017-06-15T21:23:37Z
dc.date.created2005-10-12
dc.date.issued2005-10-12
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4213
dc.description.abstractShort rates of interest are considered within in the term structure model of Eberlein-Raible [6] driven by a Lévy process. It is shown that they are Markovian if and only if the volatility function factorizes. This extends results of Caverhill [5] for the Wiener process and of Eberlein, Raible [6] for Lévy processes with a restricting property to the most general class of Lévy processes being possible within this model. As new examples compound Poisson processes and bilateral gamma processes are included, in particular variance gamma processes in the sense of Madan [14], Madan, Senata [15].eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectterm structure of interest rateseng
dc.subjectMarkovian spot rateseng
dc.subjectLévy processeseng
dc.subjectEberlein-Raible-modeleng
dc.subjectbilateral gamma processeseng
dc.subjectvariance gamma processeseng
dc.subject.ddc330 Wirtschaft
dc.titleMarkovian short rates in a forward rate model with ageneral class of Lévy processes
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10049786
dc.identifier.doihttp://dx.doi.org/10.18452/3561
local.edoc.container-titleSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
local.edoc.pages21
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2003
local.edoc.container-issue6
local.edoc.container-year2003
local.edoc.container-erstkatid2135319-0

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