IDEAS home Printed from https://ideas.repec.org/a/spr/finsto/v11y2007i3p429-445.html
   My bibliography  Save this article

Exponential moments for HJM models with jumps

Author

Listed:
  • Jacek Jakubowski
  • Jerzy Zabczyk

Abstract

No abstract is available for this item.

Suggested Citation

  • Jacek Jakubowski & Jerzy Zabczyk, 2007. "Exponential moments for HJM models with jumps," Finance and Stochastics, Springer, vol. 11(3), pages 429-445, July.
    • Handle: RePEc:spr:finsto:v:11:y:2007:i:3:p:429-445
    DOI: 10.1007/s00780-007-0040-x
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s00780-007-0040-x
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s00780-007-0040-x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Ernst Eberlein & Sebastian Raible, 1999. "Term Structure Models Driven by General Lévy Processes," Mathematical Finance, Wiley Blackwell, vol. 9(1), pages 31-53, January.
    2. Ivar Ekeland & Erik Taflin, 2003. "A theory of bond portfolios," Papers math/0301278, arXiv.org, revised May 2005.
    3. repec:dau:papers:123456789/6041 is not listed on IDEAS
    4. Ernst Eberlein & Jean Jacod & Sebastian Raible, 2005. "Lévy term structure models: No-arbitrage and completeness," Finance and Stochastics, Springer, vol. 9(1), pages 67-88, January.
    5. Rene Carmona & Michael Tehranchi, 2004. "A Characterization of Hedging Portfolios for Interest Rate Contingent Claims," Papers math/0407119, arXiv.org.
    6. Tomas Björk & Yuri Kabanov & Wolfgang Runggaldier, 1997. "Bond Market Structure in the Presence of Marked Point Processes," Mathematical Finance, Wiley Blackwell, vol. 7(2), pages 211-239, April.
    7. Rama Cont, 2005. "Modeling Term Structure Dynamics: An Infinite Dimensional Approach," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(03), pages 357-380.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Damir Filipović & Stefan Tappe, 2008. "Existence of Lévy term structure models," Finance and Stochastics, Springer, vol. 12(1), pages 83-115, January.
    2. Micha{l} Barski & Jacek Jakubowski & Jerzy Zabczyk, 2008. "On incompleteness of bond markets with infinite number of random factors," Papers 0809.2270, arXiv.org, revised Jan 2016.
    3. Michal Baran & Jerzy Zabczyk, 2009. "Bonds with volatilities proportional to forward rates," Papers 0911.1119, arXiv.org.
    4. Micha{l} Barski & Jerzy Zabczyk, 2015. "Forward rate models with linear volatilities," Papers 1512.05321, arXiv.org.
    5. Michał Barski & Jerzy Zabczyk, 2012. "Forward rate models with linear volatilities," Finance and Stochastics, Springer, vol. 16(3), pages 537-560, July.
    6. Micha{l} Barski, 2015. "Incompleteness of the bond market with L\'evy noise under the physical measure," Papers 1512.03963, arXiv.org.
    7. Anastasis Kratsios & Cody B. Hyndman, 2017. "Deep Learning in a Generalized HJM-type Framework Through Arbitrage-Free Regularization," Papers 1710.05114, arXiv.org, revised Dec 2019.
    8. Francesca Biagini & Maximilian Härtel, 2014. "Behavior Of Long-Term Yields In A Lévy Term Structure," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(03), pages 1-24.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Lijun Bo & Ying Jiao & Xuewei Yang, 2011. "Credit derivatives pricing with default density term structure modelled by L\'evy random fields," Papers 1112.2952, arXiv.org.
    2. Bruno Bouchard & Emmanuel Lepinette & Erik Taflin, 2013. "Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs," Papers 1302.0361, arXiv.org.
    3. Erik Taflin, 2009. "Generalized integrands and bond portfolios: Pitfalls and counter examples," Papers 0909.2341, arXiv.org, revised Jan 2011.
    4. Eckhard Platen & Steffan Tappe, 2015. "Real-World Forward Rate Dynamics With Affine Realizations," Published Paper Series 2015-7, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    5. Jean Jacod & Philip Protter, 2010. "Risk-neutral compatibility with option prices," Finance and Stochastics, Springer, vol. 14(2), pages 285-315, April.
    6. Lijun Bo & Ying Jiao & Xuewei Yang, 2014. "Credit derivatives pricing with default density term structure modelled by Lévy random fields," Post-Print hal-00651397, HAL.
    7. Damir Filipović & Stefan Tappe, 2008. "Existence of Lévy term structure models," Finance and Stochastics, Springer, vol. 12(1), pages 83-115, January.
    8. Oleksii Mostovyi, 2014. "Utility maximization in the large markets," Papers 1403.6175, arXiv.org, revised Oct 2014.
    9. Stefan Tappe, 2019. "Existence of affine realizations for L\'evy term structure models," Papers 1907.02363, arXiv.org.
    10. Damir Filipovi'c & Stefan Tappe, 2019. "Existence of L\'evy term structure models," Papers 1907.03561, arXiv.org.
    11. Gapeev, Pavel V., 2004. "On arbitrage and Markovian short rates in fractional bond markets," Statistics & Probability Letters, Elsevier, vol. 70(3), pages 211-222, December.
    12. Kathrin Glau, 2015. "Feynman-Kac formula for L\'evy processes with discontinuous killing rate," Papers 1502.07531, arXiv.org, revised Nov 2015.
    13. Enrico Ferri, 2018. "Infinite dimensional portfolio representation as applied to model points selection in life insurance," Papers 1808.00866, arXiv.org, revised Mar 2020.
    14. Jirô Akahori & Takahiro Tsuchiya, 2006. "What is the Natural Scale for a Lévy Process in Modelling Term Structure of Interest Rates?," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(4), pages 299-313, December.
    15. Ole E. Barndorff-Nielsen & Neil Shephard, 2012. "Basics of Levy processes," Economics Papers 2012-W06, Economics Group, Nuffield College, University of Oxford.
    16. Ernst Eberlein & Wolfgang Kluge & Antonis Papapantoleon, 2006. "Symmetries In Lévy Term Structure Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(06), pages 967-986.
    17. Wolfgang Kluge & Antonis Papapantoleon, 2009. "On the valuation of compositions in Levy term structure models," Quantitative Finance, Taylor & Francis Journals, vol. 9(8), pages 951-959.
    18. Leippold, Markus & Strømberg, Jacob, 2014. "Time-changed Lévy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube," Journal of Financial Economics, Elsevier, vol. 111(1), pages 224-250.
    19. Eckhard Platen & Stefan Tappe, 2011. "Affine Realizations for Levy Driven Interest Rate Models with Real-World Forward Rate Dynamics," Research Paper Series 289, Quantitative Finance Research Centre, University of Technology, Sydney.
    20. Nathanael Ringer & Michael Tehranchi, 2006. "Optimal portfolio choice in the bond market," Finance and Stochastics, Springer, vol. 10(4), pages 553-573, December.

    More about this item

    Keywords

    Lévy processes; Bond models; HJM postulate; Martingales; 60H30; 91B28; 60G51; E43; G12;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:finsto:v:11:y:2007:i:3:p:429-445. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.