Stefan Tappe

affiliation not provided to SSRN

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Scholarly Papers (1)

1.

Affine Realizations for Levy Driven Interest Rate Models with Real-World Forward Rate Dynamics

Research Paper Number: 289, Quantitative Finance Research Centre, University of Technology, Sydney
Number of pages: 19 Posted: 04 Nov 2012
Eckhard Platen and Stefan Tappe
University of Technology, Sydney (UTS) - School of Finance and Economics and affiliation not provided to SSRN
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Abstract:

Levy driven interest rate models, real-world forward rate dynamics, stochastic volatility, affine realizations