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Küchler, Uwe
Naumann, Eva
Year of Publication: 
Series/Report no.: 
SFB 373 Discussion Paper 2003,6
Short rates of interest are considered within in the term structure model of Eberlein-Raible [6] driven by a Lévy process. It is shown that they are Markovian if and only if the volatility function factorizes. This extends results of Caverhill [5] for the Wiener process and of Eberlein, Raible [6] for Lévy processes with a restricting property to the most general class of Lévy processes being possible within this model. As new examples compound Poisson processes and bilateral gamma processes are included, in particular variance gamma processes in the sense of Madan [14], Madan, Senata [15].
term structure of interest rates
Markovian rates
Lévy processes
bilateral gamma processes
variance gamma processes
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Working Paper

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