THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD
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Publication:4372037
DOI10.1111/j.1467-9965.1994.tb00094.xzbMath0884.90037MaRDI QIDQ4372037
Publication date: 21 January 1998
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.1994.tb00094.x
hedging strategies; martingale measure; contingent claims; term structure; Gaussian random field; bond prices; interest-rate caps
60G35: Signal detection and filtering (aspects of stochastic processes)
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Cites Work
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- A Theory of the Term Structure of Interest Rates
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- An equilibrium characterization of the term structure
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