Consistency among trading desks

DOI10.1007/s00780-006-0014-4zbMath1101.91038OpenAlexW2009704958MaRDI QIDQ854281

Hyejin Ku, David C. Heath

Publication date: 8 December 2006

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-006-0014-4

zbMATH Keywords

martingale measurearbitragepricing operatorcountably additive measure

Mathematics Subject Classification ID

Probability measures on topological spaces (60B05) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10)

Cites Work

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• Martingales and arbitrage in multiperiod securities markets
• LIBOR and swap market models and measures
• On Means with Countably Additive Continuities
• The Market Model of Interest Rate Dynamics
• Interest rate models -- theory and practice

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