Affine realizations for Lévy driven interest rate models with real-world forward rate dynamics

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.