Can I read Term Structure Models Driven by Wiener Process and Poisson Measures: Existence and Positivity on EtoBox?

Term Structure Models Driven by Wiener Process and Poisson Measures: Existence and Positivity by Filipovic, Damir; Tappe, Stefan; Teichmann, Josef is a scholarly article available to read on EtoBox.

What is Term Structure Models Driven by Wiener Process and Poisson Measures: Existence and Positivity about?

In the spirit of Bj\"ork-DiMasi-Kabanov-Runggaldier, we investigate term structure models driven by Wiener process and Poisson measures with forward curve dependent volatilities. This includes a full existence and uniqueness proof for the corresponding Heath--Jarrow--Morton type term structure equation. Furthermore, we characterize positivity preserving models by means of the characteristic coefficients, which was open for jump-diffusions. Additionally we treat existence, uniqueness and positivity of the Brody-Hughston equation of interest rate theory with jumps, an equation which we believe to be very useful for applications. A key role in our investigation is played by the method of the moving frame, which allows to transform the Heath--Jarrow--Morton--Musiela equation to a time-dependent SDE.

Author

Filipovic, Damir; Tappe, Stefan; Teichmann, Josef

Published

2009

Language

EN