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

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

Mathematics Subject Classification ID

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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