Heath-Jarrow-Merton model with linear volatility

Published 17 Apr 2023 in math.PR | (2304.08075v2)

Abstract: We consider the Heath-Jarrow-Morton model of forward rates processes with linear volatility. The noise is either a Wiener or a pure jump Leevy process. We provide formulae for the forward rate processes, and discus the problem of their global in time existence.

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