The equivalent martingale measure conditions in a general model for interest rates

DOI10.1239/aap/1118858632zbMath1076.60055OpenAlexW2114288432WikidataQ57712784 ScholiaQ57712784MaRDI QIDQ5694151

Fima C. Klebaner, Kais Hamza, S. D. Jacka

Publication date: 29 September 2005

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1118858632

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (2)

Stochastic string models with continuous semimartingales ⋮ Volatility in options formulae for general stochastic dynamics

Cites Work

• Arbitrage et lois de martingale. (Arbitrage and martingale laws)
• Martingales and stochastic integrals in the theory of continuous trading
• A general version of the fundamental theorem of asset pricing
• Towards a general theory of bond markets
• MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Interest Rate Option Pricing With Poisson‐Gaussian Forward Rate Curve Processes
• THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD
• Bond Market Structure in the Presence of Marked Point Processes
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