Arbitrage valuation and bounds for sinking-fund bonds with multiple sinking-fund dates

DOI10.1080/13504869950079301zbMath1009.91010OpenAlexW2053542027MaRDI QIDQ4541583

Fulvio Ortu, Anna Rita Bacinello

Publication date: 5 September 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504869950079301

zbMATH Keywords

Brownian motionpricingsinking-fund bond

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• 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 Theory of the Term Structure of Interest Rates
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Valuation of sinking-fund bonds in the Vasicek and CIR frameworks^∗Financial support from Murst Fondo 40% on ‘Modelli di struttura a termine dei tassi d'interesse’ is gratefully acknowledged.
• Changes of numéraire, changes of probability measure and option pricing
• An equilibrium characterization of the term structure

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