Repetowicz, Przemyslaw; Lucey, Brian; Richmond, Peter - arXiv.org - 2004
We consider a generalization of the Heath Jarrow Morton model for the term structure of interest rates where the forward rate is driven by Paretian fluctuations. We derive a generalization of It\^{o}'s lemma for the calculation of a differential of a Paretian stochastic variable and use it to...