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

DOI10.1239/AAP/1118858632zbMATH Open1076.60055OpenAlexW2114288432WikidataQ57712784 ScholiaQ57712784MaRDI QIDQ5694151FDOQ5694151

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

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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)

Cites Work

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• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• A general version of the fundamental theorem of asset pricing
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• Martingales and stochastic integrals in the theory of continuous trading
• THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD
• Bond Market Structure in the Presence of Marked Point Processes
• Towards a general theory of bond markets
• MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH
• Interest Rate Option Pricing With Poisson‐Gaussian Forward Rate Curve Processes
• Arbitrage et lois de martingale. (Arbitrage and martingale laws)

Cited In (6)

• The expectations hypothesis with non-negative rates
• Stochastic string models with continuous semimartingales
• Term structure of interest rates: The martingale approach
• Market-Based Interest Rates: Deterministic Volatility Case
• Title not available (Why is that?)
• Volatility in options formulae for general stochastic dynamics

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