The equivalent martingale measure conditions in a general model for interest rates
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Publication:5694151
DOI10.1239/aap/1118858632zbMath1076.60055WikidataQ57712784 ScholiaQ57712784MaRDI QIDQ5694151
Fima C. Klebaner, Kais Hamza, S. D. Jacka
Publication date: 29 September 2005
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/aap/1118858632
91B24: Microeconomic theory (price theory and economic markets)
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G30: Interest rates, asset pricing, etc. (stochastic models)
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
91B26: Auctions, bargaining, bidding and selling, and other market models
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Cites Work
- Arbitrage et lois de martingale. (Arbitrage and martingale laws)
- Martingales and stochastic integrals in the theory of continuous trading
- A general version of the fundamental theorem of asset pricing
- Towards a general theory of bond markets
- MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Interest Rate Option Pricing With Poisson‐Gaussian Forward Rate Curve Processes
- THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD
- Bond Market Structure in the Presence of Marked Point Processes
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