| Levy过程驱动的HJM框架下债券市场无套利的充分条件 |
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| 引用本文： | 杜凤娇.Levy过程驱动的HJM框架下债券市场无套利的充分条件[J].徐州师范大学学报(自然科学版),2014(2):58-62. |
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| 作者姓名： | 杜凤娇 |
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| 作者单位： | 徐州工程学院数学与物理科学学院,江苏徐州221111 |
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| 基金项目： | 徐州工程学院科研基金资助项目（XKY2007315） |
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| 摘 要： | 考虑Levy过程驱动的 HJM框架下债券市场模型，利用远期债券价格过程构造相应于Levy过程的远期鞅测度，获得了这种债券市场无套利的充分条件。
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| 关 键 词： | Levy过程 HJM框架 债券市场 远期鞅测度 远期债券价格过程 无套利 |
Sufficient condition of no-arbitrage for bond market under the HJM framework driven by Levy process |
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| Du Fengjiao.Sufficient condition of no-arbitrage for bond market under the HJM framework driven by Levy process[J].Journal of Xuzhou Normal University(Natural Science Edition),2014(2):58-62. |
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| Authors: | Du Fengjiao |
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| Institution: | Du Fengjiao ( Mathematics ＆ Physical Sciences Technology, Xuzhou Institute of Technology, Xuzhou 221111, Jiangsu, China) |
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| Abstract: | A bond market model under the HJM framework driven by Levy process is considered ,and a forward martingale measure which is related to the Levy process is constructed by applying the forward process of bond price .At last ,the sufficient condition of no-arbitrage for the bond market is obtained . |
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| Keywords: | Levy process HJM framework bond market forward martingale measure forward process of bond price no-arbitrage |
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