Existence of Lévy term structure models

2019/07/08 by Damir Filipović, Filipović, Damir, Stefan Tappe +1
Economics, Econometrics and Finance · Mathematics · #60H15 #91G80 #FOS: Economics and business #FOS: Mathematics #Mathematical Dynamics and Fractals #Mathematical Finance (q-fin.MF) #Probability (math.PR) #Stochastic processes and financial applications #advanced mathematical theories

paper · doi:10.48550/arxiv.1907.03561

openalex publication_date 2019/07/08 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/01

Abstract

Lévy driven term structure models have become an important subject in the mathematical finance literature. This paper provides a comprehensive analysis of the Lévy driven Heath-Jarrow-Morton type term structure equation. This includes a full proof of existence and uniqueness in particular, which seems to have been lacking in the finance literature so far.

Citations

• Hypoellipticity in infinite dimensions and an application in interest rate theory
• The Fine Structure of Asset Returns: An Empirical Investigation

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