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Mean reversion for HJMM forward rate models
Published online by Cambridge University Press: 01 July 2016
Abstract
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.
MSC classification
- Type
- General Applied Probability
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- Copyright © Applied Probability Trust 2010
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