摘要：We derive a general form of the market prices of risk from Levy term structure model. When the models of asset prices or interests rates follow semimartingale processes, the market prices of risk are produced from two parts. This means the measure change is not unique. We provide the market prices of risk in incomplete market. The market prices of risk obtained from several standard methods give the explanations of the stylized facts on the term premuin. We also extend the studies of the default free case to defaultable one. As an application, we price the pure discount bond and FRN(Floating Rate Note) under proper measures.
关键词：y process; Term structure of interest rate; HJM Model
