Heath-Jarrow-Merton model with linear volatility

Autor:	Peszat, S., Zabczyk, J.
Rok vydání:	2023
Předmět:	Mathematics - Probability 60H30 93E20 91G30 91G10
Druh dokumentu:	Working Paper
Popis:	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.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2304.08075 Zobrazit plný text záznamu View this record from Arxiv