Digitale Medien
Oxford, UK and Boston, USA
:
Blackwell Publishers Inc.
Mathematical finance
7 (1997), S. 0
ISSN:
1467-9965
Quelle:
Blackwell Publishing Journal Backfiles 1879-2005
Thema:
Mathematik
,
Wirtschaftswissenschaften
Notizen:
We investigate the term structure of zero coupon bonds when interest rates are driven by a general marked point process as well as by a Wiener process. Developing a theory that allows for measure–valued trading portfolios, we study existence and uniqueness of a martingale measure. We also study completeness and its relation to the uniqueness of a martingale measure. For the case of a finite jump spectrum we give a fairly general completeness result and for a Wiener–Poisson model we prove the existence of a time–independent set of basic bonds. We also give sufficient conditions for the existence of an affine term structure.
Materialart:
Digitale Medien
URL:
http://dx.doi.org/10.1111/1467-9965.00031
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