Lévy term structure models: No-arbitrage and completeness

Lévy term structure models: No-arbitrage and completeness

The Levy 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
Hauptverfasser: Eberlein, Ernst, Jacod, Jean, Raible, Sebastian
Format: Artikel
Sprache:eng
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Arbitrage
Expected values
Finance
Hedging
Interest rates
Mathematical models
Prices
Studies
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creator Eberlein, Ernst
Jacod, Jean
Raible, Sebastian
description The Levy 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. [PUBLICATION ABSTRACT]
doi_str_mv 10.1007/s00780-004-0138-3
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subjects Arbitrage
Expected values
Finance
Hedging
Interest rates
Mathematical models
Prices
Studies
title Lévy term structure models: No-arbitrage and completeness
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