Compact embeddings for spaces of forward rate curves
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Damir Filipović & Stefan Tappe, 2008. "Existence of Lévy term structure models," Finance and Stochastics, Springer, vol. 12(1), pages 83-115, January.
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.- Jonas Alm & Filip Lindskog, 2015. "Valuation of Index-Linked Cash Flows in a Heath–Jarrow–Morton Framework," Risks, MDPI, vol. 3(3), pages 1-27, September.
- 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.
- Lijun Bo & Ying Jiao & Xuewei Yang, 2011. "Credit derivatives pricing with default density term structure modelled by Lévy random fields," Working Papers hal-00651397, HAL.
- Micha{l} Barski & Jerzy Zabczyk, 2015. "Forward rate models with linear volatilities," Papers 1512.05321, arXiv.org.
- Michał Barski & Jerzy Zabczyk, 2012. "Forward rate models with linear volatilities," Finance and Stochastics, Springer, vol. 16(3), pages 537-560, July.
- St'ephane Goutte & Nadia Oudjane & Francesco Russo, 2009. "Variance Optimal Hedging for continuous time processes with independent increments and applications," Papers 0912.0372, arXiv.org.
- Chiarolla, Maria B. & De Angelis, Tiziano, 2015. "Analytical pricing of American Put options on a Zero Coupon Bond in the Heath–Jarrow–Morton model," Stochastic Processes and their Applications, Elsevier, vol. 125(2), pages 678-707.
- Claudio Fontana & Giacomo Lanaro & Agatha Murgoci, 2024. "The geometry of multi-curve interest rate models," Papers 2401.11619, arXiv.org, revised Jun 2024.
- Albeverio, S. & Mandrekar, V. & Rüdiger, B., 2009. "Existence of mild solutions for stochastic differential equations and semilinear equations with non-Gaussian Lévy noise," Stochastic Processes and their Applications, Elsevier, vol. 119(3), pages 835-863, March.
- Hainaut, Donatien, 2016. "A bivariate Hawkes process for interest rate modeling," Economic Modelling, Elsevier, vol. 57(C), pages 180-196.
- 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.
- Tappe, Stefan, 2010. "A note on stochastic integrals as L2-curves," Statistics & Probability Letters, Elsevier, vol. 80(13-14), pages 1141-1145, July.
- 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.
- 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.
- Eckhard Platen & Stefan Tappe, 2019. "Real-world forward rate dynamics with affine realizations," Papers 1907.05072, arXiv.org.
- Zdzislaw Brzezniak & Tayfun Kok, 2016. "Stochastic Evolution Equations in Banach Spaces and Applications to Heath-Jarrow-Morton-Musiela Equation," Papers 1608.05814, arXiv.org.
- Stefan Tappe, 2019. "Existence of affine realizations for L\'evy term structure models," Papers 1907.02363, arXiv.org.
- 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.
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:arx:papers:1907.01437. 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: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.