The equivalent martingale measure conditions in a general model for interest rates

DOI10.1239/AAP/1118858632MaRDI QIDQ5694151zbMATHOpenAlexWikidataFDO

Authors K. Hamza, Fima Klebaner, 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

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Auctions, bargaining, bidding and selling, and other market models (91B26) Applications of stochastic analysis (to PDEs, etc.) (60H30) Microeconomic theory (price theory and economic markets) (91B24) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

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• scientific article; zbMATH DE number 44889 (Why is no real title available?)
• scientific article; zbMATH DE number 48952 (Why is no real title available?)
• scientific article; zbMATH DE number 1227086 (Why is no real title available?)
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• Arbitrage et lois de martingale. (Arbitrage and martingale laws)
• Bond Market Structure in the Presence of Marked Point Processes
• 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
• MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH
• Martingales and stochastic integrals in the theory of continuous trading
• THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD
• Towards a general theory of bond markets

Cited in

(7)

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• The expectations hypothesis with non-negative rates
• Market-Based Interest Rates: Deterministic Volatility Case
• Stochastic string models with continuous semimartingales
• A note on real-world and risk-neutral dynamics for Heath-Jarrow-Morton frameworks
• Volatility in options formulae for general stochastic dynamics
• scientific article; zbMATH DE number 1507175 (Why is no real title available?)

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