On the Musiela SPDE with Levy noise
Seminar Room 1, Newton Institute
AbstractThe talk is concerned with an equation describing the evolution of the so called forwared rates of the bond market. The derivation of the equation will be sketched and its properties discussed. The final part of the presentation, based on a recent work with M. Baran, will be devoted to the explosions of the solutions in the case of the linear diffusion term.
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