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A model of the term structure of interest rates based on Lévy fields

Sergio Albeverio·Eugene Lytvynov·Andrea Mahnig
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Abstract

An extension of the Heath--Jarrow--Morton model for the development of instantaneous forward interest rates with deterministic coefficients and Gaussian as well as Lévy field noise terms is given. In the special case where the Lévy field is absent, one recovers a model discussed by D.P.~Kennedy.

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Sergio Albeverio, Eugene Lytvynov, Andrea Mahnig. 2003-11-10. A model of the term structure of interest rates based on Lévy fields. https://arxiv.org/abs/math/0311144

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