Affine realizations for Lévy driven interest rate models with real-world forward rate dynamics
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Date
2011-03-01Type
- Working Paper
ETH Bibliography
yes
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Abstract
We investigate the existence of ane realizations for interest rate term structure models driven by Levy processes. Using as numeraire the growth optimal portfolio, we model the interest rate term structure under the realworld probability measure, and hence, we do not need the existence of an equivalent risk-neutral probability measure. Furthermore, we include nite dimensional external factors, thus admitting a stochastic volatility structure. Show more
Publication status
publishedJournal / series
Research Paper SeriesPages / Article No.
Publisher
Quantitative Finance Research Centre, University of TechnologySubject
Levy driven interest rate models; Real-world forward rate dynamics; Stochastic volatility; Ane realizationsOrganisational unit
03845 - Teichmann, Josef / Teichmann, Josef
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ETH Bibliography
yes
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