SYMMETRIES IN LÉVY TERM STRUCTURE MODELS
Year of publication: |
2006
|
---|---|
Authors: | EBERLEIN, ERNST ; KLUGE, WOLFGANG ; PAPAPANTOLEON, ANTONIS |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 09.2006, 06, p. 967-986
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Time-inhomogeneous Lévy processes | change of measure | symmetry | Heath–Jarrow–Morton model | LIBOR model | forward price model |
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