What is the natural scale for a L\'evy process in modelling term   structure of interest rates?
  This paper gives examples of explicit arbitrage-free term structure models with L\'evy jumps via state price density approach. By generalizing quadratic Gaussian models, it is found that the probability density function of a L\'evy process is a "natural" scale for the process to be the state variable of a market. 
Jir\^o Akahori and Takahiro Tsuchiya