Mean reversion for HJMM forward rate models
2010 ◽
Vol 42
(02)
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pp. 371-391
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Keyword(s):
We examine the long-time behavior of forward rates in the framework of Heath-Jarrow-Morton-Musiela models with infinite-dimensional Lévy noise. We give an explicit condition under which the rates have a mean reversion property. In a special case we show that this condition is fulfilled for any Lévy process with variance smaller than a given constant, depending only on the state space and the volatility.
2010 ◽
Vol 42
(2)
◽
pp. 371-391
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Keyword(s):
2021 ◽
Keyword(s):
Keyword(s):
2021 ◽
Vol 382
(3)
◽
pp. 1843-1934
2000 ◽
Vol 128
(12)
◽
pp. 3483-3492
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