ON SAVINGS ACCOUNTS IN SEMIMARTINGALE TERM STRUCTURE MODELS
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Publication:2746388
DOI10.1081/SAP-100002104zbMath1017.91042MaRDI QIDQ2746388
Martin Schweizer, Frank Döberlein
Publication date: 24 February 2002
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
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Related Items (5)
No arbitrage and multiplicative special semimartingales ⋮ Rational Models for Inflation-Linked Derivatives ⋮ Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing ⋮ No Arbitrage Theory for Bond Markets ⋮ Rational multi-curve models with counterparty-risk valuation adjustments
Cites Work
- Towards a general theory of bond markets
- Continuous-time term structure models: Forward measure approach
- Volatility of the short rate in the rational lognormal model
- Equilibrium Models With Singular Asset Prices
- The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
- Unnamed Item
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