Term structure of interest rates: Discontinuous case

DOI10.1007/BF02829901MaRDI QIDQ4234440zbMATH OpenOpenAlexFDO

Authors Guilan Wang, Shaoyue Liu

Publication date 11 January 2000

Published in Wuhan University Journal of Natural Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02829901

zbMATH Keywords

Martingale measurePoisson processzero coupon bond

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• On the pricing of American options
• Optimal portfolio for a small investor in a market model with discontinuous prices
• Term structure of interest rates: The martingale approach
• Weak convergence of term structure movements and the connection of prices and interest rates^∗

Cited in

(10)

• Short rate analysis and marked point processes
• The expectations hypothesis with non-negative rates
• Term structure of discount rates for firms in the insurance industry
• ON SAVINGS ACCOUNTS IN SEMIMARTINGALE TERM STRUCTURE MODELS
• Weak convergence of term structure movements and the connection of prices and interest rates^∗
• Bond Market Structure in the Presence of Marked Point Processes
• Market Price of Risk and Random Field Driven Models of Term Structure: A Space-Time Change of Measure Look
• scientific article; zbMATH DE number 1932363 (Why is no real title available?)
• Dynamic term structure modeling beyond the paradigm of absolute continuity
• Term structure of interest rates: The martingale approach

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