General framework for pricing derivative securities

DOI10.1016/0304-4149(94)00045-UzbMath0820.90004MaRDI QIDQ1346157

Marek Musiela

Publication date: 20 March 1995

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

term structure modelsfinancial risk managementmartingale measuresarbitrage free pricing

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cites Work

• Term structure of interest rates: The martingale approach
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• A stochastic calculus model of continuous trading: Complete markets
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Pricing Interest-Rate-Derivative Securities
• Parameter Estimates for Symmetric Stable Distributions