A COMPLETE YIELD CURVE DESCRIPTION OF A MARKOV INTEREST RATE MODEL

DOI10.1142/S0219024903001852zbMath1079.91027MaRDI QIDQ5696856

Robert J. Elliott, Rogemar S. Mamon

Publication date: 19 October 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

Markov chain; semi-martingale; forward measure; unbiased expectation hypothesis

Mathematics Subject Classification ID

60G44: Martingales with continuous parameter

60J27: Continuous-time Markov processes on discrete state spaces

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