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Existence of Lévy term structure models

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Abstract

Lévy driven term structure models have become an important subject in the mathematical finance literature. This paper provides a comprehensive analysis of the Lévy driven Heath–Jarrow–Morton type term structure equation. This includes a full proof of existence and uniqueness in particular, which seems to have been lacking in the finance literature so far.

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Authors and Affiliations

  1. Vienna Institute of Finance, Nordbergstrasse 15, 1090, Vienna, Austria

    Damir Filipović & Stefan Tappe

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  1. Damir Filipović
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  2. Stefan Tappe
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Correspondence to Damir Filipović.

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Filipović, D., Tappe, S. Existence of Lévy term structure models. Finance Stoch 12, 83–115 (2008). https://doi.org/10.1007/s00780-007-0054-4

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