Eberlein, Ernst; Özkan, Fehmi - In: Finance and Stochastics 9 (2005) 3, pp. 327-348
Models driven by Lévy processes are attractive because of their greater flexibility compared to classical diffusion models. First we derive the dynamics of the LIBOR rate process in a semimartingale as well as a Lévy Heath-Jarrow-Morton setting. Then we introduce a Lévy LIBOR market model. In...