What does the market price of risk tell us in the single factor interest rate model?

DOI10.1016/j.jkss.2008.02.001zbMath1153.91559OpenAlexW1994054643MaRDI QIDQ955853

Joonhee Rhee, Yoon Tae Kim

Publication date: 20 November 2008

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2008.02.001

zbMATH Keywords

interest rate modelLévy processmarket price of risk

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

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• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Time Change Representation of Stochastic Integrals
• The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets