2006/12/13 by Jirô Akahori, Akahori, Jirô, Takahiro Tsuchiya +1
Economics, Econometrics and Finance · Mathematics · #60G52 #91B70 #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics #math.PR #msc:60G52 #msc:91B70 #q-fin.CP
paper · pdf · doi:10.48550/arxiv.math/0612341
arxiv created 2006/12/13 · openalex publication_date 2006/12/13 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
This paper gives examples of explicit arbitrage-free term structure models with Lévy jumps via state price density approach. By generalizing quadratic Gaussian models, it is found that the probability density function of a Lévy process is a "natural" scale for the process to be the state variable of a market.