2005-10-12Buch
Markovian short rates in a forward rate model with ageneral class of Lévy processes
Küchler, Uwe; Naumann, Eva
Short 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 ...