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Lévy term structure models: No-arbitrage and completeness

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Finance and Stochastics Aims and scope Submit manuscript

Abstract.

The Lévy term structure model due to Eberlein and Raible is extended to non-homogeneous driving processes. The classes of equivalent martingale and local martingale measures for various filtrations are characterized. It turns out that in a number of standard situations the martingale measure is unique.

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Author information

Authors and Affiliations

  1. Department of Mathematical Stochastics, University of Freiburg, Eckerstr. 1, 79104, Freiburg, Germany

    Ernst Eberlein & Sebastian Raible

  2. Laboratoire de Probabilités et Modéles aléatoires (CNRS UMR 7599), Université Pierre et Marie Curie, Boîte courrier 188, 4 Place Jussieu, 75252, Paris Cedex, France

    Jean Jacod

Authors
  1. Ernst Eberlein
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  2. Jean Jacod
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  3. Sebastian Raible
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Corresponding author

Correspondence to Ernst Eberlein.

Additional information

Received: May 2004,

Mathematics Subject Classification (2000):

60H30, 91B28, 60G51

JEL Classification:

E43, G13

Work supported in part by the European Community’s Human Potential Programme under contract HPRN-CT-2000-00100, DYNSTOCH.

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Eberlein, E., Jacod, J. & Raible, S. Lévy term structure models: No-arbitrage and completeness. Finance and Stochastics 9, 67–88 (2005). https://doi.org/10.1007/s00780-004-0138-3

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  • DOI: https://doi.org/10.1007/s00780-004-0138-3

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