Term structure of interest rates: Discontinuous case (Q4234440)
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scientific article; zbMATH DE number 1263515
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| English | Term structure of interest rates: Discontinuous case |
scientific article; zbMATH DE number 1263515 |
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Term structure of interest rates: Discontinuous case (English)
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11 January 2000
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Martingale measure
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zero coupon bond
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Poisson process
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0.8526784777641296
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0.8141158223152161
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0.8021143078804016
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\textit{P. Artzner} and \textit{F. Delbaen} [see Adv. Appl. Math. 10, No. 1, 95-129 (1989; Zbl 0691.90004)] analysed the relation between interest rate and bond processes in a market with noise Brownian motion. Here the authors study this relation in a market with two fundamental assets, savings account and zero coupon bond, by martingale methods in the case of two random factors, Brownian motion and Poisson process.
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