Leitura do Dia:


EXISTENCE OF LEVY TERM STRUCTURE MODELS
DAMIR FILIPOVIC AND STEFAN TAPPE
Abstract. Levy driven term structure models have become an importante subject in the mathematical finance literature. This paper provides a compre hensive analysis of the Levy driven Heath–Jarrow–Morton type term structure equation. This includes a full proof of existence and uniqueness in particular,
which seems to have been lacking in the finance literature so far.
Key Words: forward curve spaces; Levy term structure models, stochastic integration in Hilbert spaces; strong, weak and mild solutions of infinite dimensional SDE’s,