Year: 2023
Type: preprint
Abstract: We consider the Heath-Jarrow-Morton model of forward rates processes with linear volatility. The noise is either a Wiener or a pure jump Leevy process. We provide formulae for the forward rate processes, and discus the problem of their global in time existence.
Source: arXiv (Cornell University)
Authors: Peszat, S., Zabczyk, J.
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W4366400477