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Bond Market Structure in the Presence of Marked Point Processes (1997)

Björk, Tomas ; Kabanov, Yuri ; Runggaldier, Wolfgang

Oxford, UK and Boston, USA : Blackwell Publishers Inc.

Mathematical finance 7 (1997), S. 0

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ISSN: 1467-9965

Source: Blackwell Publishing Journal Backfiles 1879-2005

Topics: Mathematics , Economics

Notes: 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.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1111/1467-9965.00031

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