Lévy term structure models: no-arbitrage and completeness

Lévy term structure models: no-arbitrage and completeness

The Lévy term structure model due to Eberlein and Raible is extended to non-homogeneous driving processes. The classes of equivalent martingale and local martingale measures for various filtrations are characterized. It turns out that in a number of standard situations the martingale measure is uniq...

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Veröffentlicht in:Finance and stochastics 2005-01, Vol.9 (1), p.67-88
Hauptverfasser: Eberlein, E, Jacod, J, Raible, S
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Sprache:eng
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Arbitrage
Econometrics
Finance
Mathematics
Probability
Term structure
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container_title Finance and stochastics
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creator Eberlein, E
Jacod, J
Raible, S
description The Lévy term structure model due to Eberlein and Raible is extended to non-homogeneous driving processes. The classes of equivalent martingale and local martingale measures for various filtrations are characterized. It turns out that in a number of standard situations the martingale measure is unique. Reprinted by permission of Springer
doi_str_mv 10.1007/s00780-004-0138-3;TIB-ZL974
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source EBSCOhost Business Source Complete; SpringerLink Journals - AutoHoldings
subjects Arbitrage
Econometrics
Finance
Mathematics
Probability
Term structure
title Lévy term structure models: no-arbitrage and completeness
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