An arbitrage theory of the term structure of interest rates

DOI10.1214/aoap/1177004898zbMath0818.90008OpenAlexW2094466415MaRDI QIDQ1345575

Kristian R. Miltersen

Publication date: 7 August 1995

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1177004898

zbMATH Keywords

stochastic differential equationssufficient conditionscontinuous local martingalesdiscounted bond price processesstochastic forward rates

Mathematics Subject Classification ID

Related Items (5)

TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS ⋮ A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING ⋮ Valuation and hedging of contingent claims in the HJM model with deterministic volatilities ⋮ Stochastic volatility Gaussian Heath-Jarrow-Morton models ⋮ Lognormality of rates and term structure models

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