Lévy term structure models: No-arbitrage and completeness

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 unique. Copyright Springer-Verlag Berlin/Heidelberg 2005

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Year of publication:	2005
Authors:	Eberlein, Ernst ; Jacod, Jean ; Raible, Sebastian
Published in:	Finance and Stochastics. - Springer. - Vol. 9.2005, 1, p. 67-88
Publisher:	Springer
Subject:	Term structures \| Lévy processes \| no-arbitrage \| completeness

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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