A model of the term structure of interest rates based on Levy fields

[摘要] An extension of the Heath-Jarrow-Morton model for the development of instantaneous forward interest rates with deterministic coefficients and Gaussian as well as Levy field noise terms is given. In the special case where the Levy field is absent, one recovers a model discussed by D.P. Kennedy. (C) 2004 Elsevier B.V. All rights reserved.

[发布日期] 2004-12-01

[关键词] term structure of interest rates;Levy fields;HJM model;Kennedy model