HJM one-factor models (including Hull White) have many applications within finance. The risk neutral measure is one of the most common measures to use with HJM models. Since the risk neutral numeraire (money market account) and bond are driven by the same Brownian motion it is frequently assumed...

We investigate Stochastic Processes that are mean reverting (and have leptokurtic distributions. A new MR process is proposed which utilizes the infinitely divisible property of Levy process. The process itself can be calibrated and simulated easily using a small number of discrete time steps....