From structural assumptions to a link between assets and interest rates

DOI10.1016/j.jedc.2005.12.006zbMath1162.91351OpenAlexW2081278398MaRDI QIDQ959749

Martin Schweizer, Oliver Reiß, John G. M. Schoenmakers

Publication date: 12 December 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2005.12.006

zbMATH Keywords

interest rateshomogeneousassetsshort rateasset indextestable relationvolatility structure

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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• A BENCHMARK APPROACH TO FINANCE
• Arbitrage Theory in Continuous Time
• The numeraire portfolio for unbounded semimartingale

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