Eberlein, Ernst; Jacod, Jean; Raible, Sebastian - In: Finance and Stochastics 9 (2005) 1, pp. 67-88
The Lévy term structure model due to Eberlein and Raible is extended to non-homogeneous driving processes. The classes of equivalent martingale and local martingale measures for various filtrations are characterized. It turns out that in a number of standard situations the martingale measure is...