BIAGINI, FRANCESCA; HÄRTEL, MAXIMILIAN - In: International Journal of Theoretical and Applied … 17 (2014) 03, pp. 1450016-1
We study the behavior of the long-term yield in a HJM setting for forward rates driven by Lévy processes. The long-term rates are investigated by examining continuously compounded spot rate yields with maturity going to infinity. In this paper, we generalize the model of Karoui et al. (1997) by...
