Term Structure of Interest Rates in the Presence of Levy Jumps: The HJM Approach

The aim of this paper is to generalize Heath, Jarrow and Morton (1992, Econometrica) model of the term structure of interest rates within a jumpdiffusion formework. This is achieved by assuming that the forward rate process has a Levy jump component with general jump size distributions. Sufficient conditions are derived under which the no-arbitrage condition implies the existence of a unique martingale measure within the jump-diffusion framework.

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Year of publication:	2003
Authors:	Ma, Chenghu
Published in:	Annals of Economics and Finance. - China Economics and Management Academy, ISSN 1529-7373. - Vol. 4.2003, 2, 7, p. 401-426
Publisher:	China Economics and Management Academy
Subject:	Term structure of interest rates \| Martingale measure \| Jump-diffusion

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	G10 - General Financial Markets. General ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10009150918