We extend the Lévy-Khintchine representation for an infinitely divisible distribution to define a driving process in the context of the bond price framework developed earlier. We describe a methodology using subordination to construct such processes and we develop some examples in detail. COPYRIGHT 2006 EUDOXUS PRESS,LLC.
|Number of pages
|Journal of Computational Analysis and Applications
|Published - 2006
- Processes with independent increments