Term structure of interest rates: The martingale approach

DOI10.1016/0196-8858(89)90005-5zbMath0691.90004OpenAlexW1994658622MaRDI QIDQ583070

Philippe Artzner

Publication date: 1989

Published in: Advances in Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0196-8858(89)90005-5

zbMATH Keywords

diffusionBrownian motioninterest ratebondssavings

Mathematics Subject Classification ID

Brownian motion (60J65) Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62) Martingales with continuous parameter (60G44) Diffusion processes (60J60)

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Cites Work

• Martingales and arbitrage in multiperiod securities markets
• An equilibrium characterization of the term structure
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