Heath-Jarrow-Merton model with linear volatility

2023/04/17 by Peszat, S., Zabczyk, J.
#60H30 #91G10 #91G30 #93E20 #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.2304.08075

Abstract

We consider the Heath-Jarrow-Morton model of forward rates processes with linear volatility. The noise is either a Wiener or a pure jump Leevy process. We provide formulae for the forward rate processes, and discus the problem of their global in time existence.

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