I am working on L\'evy HJM.I suggest you use the Fourier based method discussed in the paper of Eberlein, Glau and Papapantoleon (2010).I have coded it in matlab also.Mesias

No hedging discussed, in Raible's thesis.

Hi,Can any one provide me with good reference that discusses hedging under L\'evy term structure models of Eberlein and Raible (2000).Thank you.

I consider HJM driven by a Generalized Hyperbolic (Ideas of Eberlein and Raible 1999).why is it that changing parameters for GH, does not have effect on option price?Code attached.Thank you.Mesias

Thank you Prof.

<t>Here is my attempt:Let [$]p(s)[$] and [$]q(s)[$] be adapted processes, [$]J(t)[$] is a compound process. Decompose the integrator into two parts, continuous and discontinuous, i.e., [$] L_t=\underbrace{L_0+I_t+R_t}_{\mbox{continuous part}}+J_t[$], where [$]I_t=\int_0^t p(s)\; dW_s[$] and [$]R_t=\...

Let [$]L=(L_t)_{t\geq 0}[$] be a Levy process and [$]f[$] is a deterministic function.Can you help me to show that a process [$]X_t=\int_0^t f(s)\; dL_s[$] is continuous in probability.Thanks

I am investigating on Levy term structure model. I did not do the Heston model.

Sorry the option value is:[$]\mathbb{V}_0\left(T,U,K\right)=\frac{K P(0,T)}{2\pi}e^{-\beta \xi}\int_\mathbb{R}e^{-iu\xi}\frac{1}{(-iu-\beta)(1-iu-\beta)}\phi_{X_T}(u-i\beta)\;du.[$]

<t>Suppose we want to find the put option value with Strikes $K$ and maturity $T$ on a zero-coupon bond maturing at time $U\textgreater T$.$\mathbb{V}_0\left(T,U,K\right)=\frac{K P(0,T)}{2\pi}e^{-\beta \xi}\int_\mathbb{R}e^{-iu\xi}\frac{1}{(-iu-\beta)(1-iu-\beta)}\phi_{X_T}(u-i\beta)\;du.$Consider t...

Thanks I will do that.

Thank you.I mainly want to apply COS method to bond pricing.I want to compare the FFT Algorithms of Raible (2000) and the COS methods for Levy term structure.I consider the Generalized hyperbolic model (GH) as a driving process. Can I send you my codes to go through?Mesias

Thanks, I will surely post the outcome.

How can one really compare these two methods?Thank you.

<t>Hi all,I am trying to find the price zero coupon bond via Levy HJM of Eberlein and Raible framework.We know [$]S(t,T)=\frac{\sigma}{a}\left(1-\exp(-a(T-t))\right)[$], Now consider a Put option with maturity [$]T[$] on a zero coupon bond [$]B(t,T)[$] maturing at time [$]T'[$]. My question is, if I...