Term structure models driven by wiener processes and poisson measures: Existence and positivity

SIAM Journal on Financial Mathematics

Volumn 1, Issue 1, 2010, Pages 523-554

  Filipovic, Damir ^a   Tappe, Stefan ^b   Teichmann, Josef ^a  

^a EPFL   (Switzerland)

^b ETH ZURICH   (Switzerland)

Author keywords

Forward curve spaces; Heath Jarrow Morton Musiela equation; Positivity preserving models; Term structure models driven by Wiener processes and Poisson measures

Indexed keywords

EID: 80355143444     PISSN: None     EISSN: 1945497X     Source Type: Journal    
DOI: 10.1137/090758593     Document Type: Article

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