A COMPLETE YIELD CURVE DESCRIPTION OF A MARKOV INTEREST RATE MODEL

DOI10.1142/S0219024903001852zbMath1079.91027MaRDI QIDQ5696856

Robert J. Elliott, Rogemar S. Mamon

Publication date: 19 October 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

Markov chainsemi-martingaleforward measureunbiased expectation hypothesis

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (10)

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Cites Work

• Unnamed Item
• Mathematics of financial markets
• FINANCIAL SIGNAL PROCESSING: A SELF CALIBRATING MODEL
• An Intertemporal General Equilibrium Model of Asset Prices
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Mortgages and Markov Chains: A Simplified Evaluation Model
• An equilibrium characterization of the term structure
• Markov-functional interest rate models
• Stochastic flows and the forward measure

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