Forward Martingale Measure Approach By Levy Process

Interest rates are the financial sector has been a focus of research questions. In this paper, to absorb the results of previous studies based on the previous method of drawing, using stochastic analysis of knowledge, in the model add a more general jump, the model to do further promotion.This thesis contains mainly three core conclusions:⑴using stochastic analysis of knowledge, the HJM model by Levy process is given by Ito? formula as well as the measure transformation.The analysis formula for the forward price on bonds is given by forward martingale measure approach by Levy process.⑵The SDE of bond prices ,the SDE of forward interest rates f (t , T )and The analysis formula for the discount bond price Z ? (t , T)under the spot martingale measureΡ? is given by spot martingale measure approach by Levy process.⑶in the promotion of the HJM model, the formula in closed form for the valuation of European bond options is given by forward measure approach.