{"entities":{"Q2574618":{"pageid":2585361,"ns":120,"title":"Item:Q2574618","lastrevid":79093949,"modified":"2026-05-06T13:07:57Z","type":"item","id":"Q2574618","labels":{"en":{"language":"en","value":"On the martingale framework for futures prices."}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 2233810"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2574618$ADBD0D50-FB10-4774-92BA-140AD03B6D76","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"1c239db64a7f4cfeb00aa5a805540904e8cd67b2","datavalue":{"value":{"text":"On the martingale framework for futures prices.","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q2574618$3F5D40CC-DB04-4B55-92EC-00473AFBD556","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"8571fdfffd8cee6aacd587faefb07de9bdb5a96a","datavalue":{"value":"1075.60041","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2574618$802796F2-B1E6-440C-B0C9-5A0E3FEF1C0E","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"0a7f38bff7197b9d5228d1d2cd340d5028d13b61","datavalue":{"value":{"entity-type":"item","numeric-id":61365,"id":"Q61365"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2574618$EF0C2C48-B305-4A90-961C-CF46546617AE","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"16707be21d380c0b939bdd4a2101c525b4135865","datavalue":{"value":{"time":"+2005-11-29T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q2574618$2425E765-1DC9-48CA-854F-6FB132D378E5","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"e7711b1b77fe60b8828caa5f1769c9d745435934","datavalue":{"value":"The standard risk-neutral valuation formula for a contingent claim requires a boundedness or integrability condition to be imposed either on the short interest rate process \\(r_{t}\\) or, equivalently, its accumulation process \\(\\beta _{t}=\\int _{0}^{t}r_{s}\\,ds\\). However, the double-side boundaries on the short rate usually invoked in the literature, fail to hold for a number of widespread models of security markets. The short rate in the Ho-Lee model is one of such cases. Accordingly, arbitrage-free interest rate futures pricing needs a different regularity assumption to go through. The paper formulates this assumption as an integrability condition on the quadratic variation of the futures price process with respect to \\(\\beta \\). As a result, it is sufficient for the accumulation process to be bounded from below only. The authors prove that the Ho-Lee interest rate process family belongs to the required category, so that interest rate futures in the corresponding market model can be priced as usual.","type":"string"},"datatype":"string"},"type":"statement","id":"Q2574618$ED645376-579A-48F6-8C93-4B14456D30EE","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"54006f64703308f565a048b96b7c6d14d8f5c177","datavalue":{"value":"60G44","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2574618$D938F024-9AA4-48C6-A522-B56D3ED13C2C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"88c8d0405ee76c2940780cfb4e0febabc9eae933","datavalue":{"value":"60G48","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2574618$FFE038BA-CCB4-4240-9644-9037F734DEA3","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"772107249974577cc119f95af96153b75985d2d2","datavalue":{"value":"2233810","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2574618$AC0E3885-C2A7-4520-ABE8-62793EFE4C0B","rank":"normal"}],"P1450":[{"mainsnak":{"snaktype":"value","property":"P1450","hash":"55b025f6fde06f1cd884ee994e249f805735d774","datavalue":{"value":"interest rate","type":"string"},"datatype":"string"},"type":"statement","id":"Q2574618$0306C6CE-AAD1-4513-A7AE-D3C7DFF274CE","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"e10d0db07fb1719d3ed1e63d58f63b93418ab88a","datavalue":{"value":"Heath-Jarrow-Morton models","type":"string"},"datatype":"string"},"type":"statement","id":"Q2574618$D53983CE-FB57-485B-83A7-1763568C83F5","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"7d4e3575a814f89181973251729da505860ba99a","datavalue":{"value":{"entity-type":"item","numeric-id":634580,"id":"Q634580"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2574618$D63F0D3B-B311-4511-B7C5-C9CE4B816E55","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"78e9f7badb2d3e5d06a7bd59d576de6739bcee7e","datavalue":{"value":{"entity-type":"item","numeric-id":341604,"id":"Q341604"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2574618$DF8FE75A-BB81-4421-9951-08D24E892BA7","rank":"normal"}],"P1447":[{"mainsnak":{"snaktype":"value","property":"P1447","hash":"93aef1cd020591185a2d5eb52c6e3e75ab09668e","datavalue":{"value":{"entity-type":"item","numeric-id":1363464,"id":"Q1363464"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2574618$514FA4DD-B092-4C70-9C41-A3F2424FF01A","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2574618$AE24B09C-A503-4D0D-9170-DE3F048C9473","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"871058f86c885e30639104e892edbc6309616a8e","datavalue":{"value":"https://doi.org/10.1016/j.spa.2003.09.003","type":"string"},"datatype":"url"},"type":"statement","id":"Q2574618$B2E10F85-44A2-4F0E-B1A8-0C1FF43033F3","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"d3cbf1f197fc9f98b2477c230ce3212ee7ec6976","datavalue":{"value":"W1995802082","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2574618$369A98B2-5241-4A52-8464-FB72CA4B5453","rank":"normal"}],"P223":[{"mainsnak":{"snaktype":"value","property":"P223","hash":"153f082085d3191d5849300103a6c5ffd445618d","datavalue":{"value":{"entity-type":"item","numeric-id":4716197,"id":"Q4716197"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2574618$049AF3CB-8F1D-4F39-B249-E389F22F8D96","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"d9f92efa7c895cdd7c329d9bb2ce373433d72678","datavalue":{"value":{"entity-type":"item","numeric-id":2782352,"id":"Q2782352"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2574618$12809618-3E5D-44A6-AA40-92661EDCCBB4","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"3560360c7e9b4e924f8b9d5b3c95f6b172c5ba7e","datavalue":{"value":{"entity-type":"item","numeric-id":4794153,"id":"Q4794153"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2574618$82CDFE45-7B75-4123-9E28-E2DD8E13995E","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"1ac1179a2db76154776e70f6f5f0017920900cc2","datavalue":{"value":{"entity-type":"item","numeric-id":4006256,"id":"Q4006256"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2574618$99097C41-CF90-45E1-91EB-A36DB4150213","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"00b869009e79d29bc76adfa3b6a1750946f412fd","datavalue":{"value":{"entity-type":"item","numeric-id":687710,"id":"Q687710"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2574618$A2BDAAA3-701D-4324-962D-00CDE423B6AC","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"ffcd9b2855e5ea45b04d083eca00724793f2890c","datavalue":{"value":{"entity-type":"item","numeric-id":4368791,"id":"Q4368791"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2574618$D03CDCD6-69BE-464A-9E17-ED450F720B4C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"32c2864676ee7be50fe36fe0a79ec98a0c02734e","datavalue":{"value":{"entity-type":"item","numeric-id":4350437,"id":"Q4350437"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2574618$A98211A0-34CE-434A-B097-ADA49995EB50","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"993a0d6fac9b479f218a78dcfbf60a7957162add","datavalue":{"value":"10.1016/J.SPA.2003.09.003","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2574618$FD884287-AA0B-4450-BBA5-C6567AB8B55C","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"55f329fabf2778342594d7b7307dba56893cda46","datavalue":{"value":{"entity-type":"item","numeric-id":601887,"id":"Q601887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"a902bd5f6aabf0047f97290d23ba2f52cc37a53b","datavalue":{"value":{"amount":"+0.7781786322593689","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2574618$C36A4E7F-4E14-420F-92A5-6B9AF2CEF881","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"a6ba36d33e73c844c3ce8ce9bccbf6dde626f392","datavalue":{"value":{"entity-type":"item","numeric-id":665727,"id":"Q665727"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"208f8ec13d443f52648ffd69a49283bbc96950b2","datavalue":{"value":{"amount":"+0.7707306742668152","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2574618$A39557D7-CF87-499A-A478-A1ADFF497DCA","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"1b5ab2a93979cfeb4590dd150a16b616a3a6f5b9","datavalue":{"value":{"entity-type":"item","numeric-id":4994395,"id":"Q4994395"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"2353312178f5a5bc8bfddfa06db5f5334be5c19c","datavalue":{"value":{"amount":"+0.7613129019737244","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2574618$700467F9-CD49-478F-953C-B8DE4F89C108","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"c2dd1ef5025bcf96a2ed1af44d996053f789cee9","datavalue":{"value":{"entity-type":"item","numeric-id":4510008,"id":"Q4510008"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"7b0bf9a17ebbd8ce8cd3754a9f1ea4364bb298a2","datavalue":{"value":{"amount":"+0.7473351955413818","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2574618$4778EF29-FBF2-4301-ADD5-BE6EC098565E","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"386835902aae2b3ea11147330172c399936a45c5","datavalue":{"value":{"entity-type":"item","numeric-id":5477681,"id":"Q5477681"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"8fe17aa5a7bbbbb6182d6f051e485a1f6c99e13f","datavalue":{"value":{"amount":"+0.7471749782562256","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2574618$1829559F-CDC8-4E78-B779-8D858C45C0AF","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"On the martingale framework for futures prices.","badges":[]}}}}}