Term structure of interest rates: Discontinuous case

DOI10.1007/BF02829901zbMath0928.62105OpenAlexW2054546897MaRDI QIDQ4234440

Guilan Wang, Shao Yue 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

Poisson processMartingale measurezero coupon bond

Mathematics Subject Classification ID

Cites Work

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

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