LÉVY TERM STRUCTURE MODELS: NO-ARBITRAGE AND COMPLETENESS

Ernst Eberlein
(joint work with Jean Jacod, Sebastian Raible)

Abstract

The Lévy term structure model due to Eberlein and Raible is extended to non-homogenous driving processes. The classes of equivalent martingale and local martingale measures for various filtrations are characterized. It turns out that in a number of standard situations the martingale measure is unique.