Affine Realizations for Levy Driven Interest Rate Models with Real-World Forward Rate Dynamics

We investigate the existence of affine realizations for interest rate term structure models driven by Levy processes. Using as numeraire the growth optimal portfolio, we model the interest rate term structure under the real-world probability measure, and hence, we do not need the existence of an equivalent risk-neutral probability measure. Furthermore, we include finite dimensional external factors, thus admitting a stochastic volatility structure

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Year of publication:	2012
Authors:	Platen, Eckhard
Other Persons:	Tappe, Stefan (contributor)
Publisher:	[2012]: [S.l.] : SSRN
Subject:	Zinsstruktur \| Yield curve \| Volatilität \| Volatility \| Stochastischer Prozess \| Stochastic process \| Portfolio-Management \| Portfolio selection \| Bewertung \| Evaluation \| Theorie \| Theory \| Zins \| Interest rate

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Extent:	1 Online-Ressource (19 p)
Series:	Research Paper Number: 289, Quantitative Finance Research Centre, University of Technology, Sydney
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 1, 2011 erstellt
Other identifiers:	10.2139/ssrn.2170196 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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