Markovian short rates in a forward rate model with a general class of Lévy processes
Year of publication: |
2003
|
---|---|
Authors: | Küchler, Uwe ; Naumann, Eva |
Institutions: | Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät |
Subject: | term structure of interest rates | Markovian rates | Lévy processes | Eberlein-Raible-model | bilateral gamma processes | variance gamma processes |
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