The equivalent martingale measure conditions in a general model for interest rates
UNSPECIFIED (2005) The equivalent martingale measure conditions in a general model for interest rates. ADVANCES IN APPLIED PROBABILITY, 37 (2). pp. 415-434. ISSN 0001-8678Full text not available from this repository.
Assuming that the forward rates f(t)(u) are semimartingales, we give conditions on their components under which the discounted bond prices are martingales. To achieve this, we give sufficient conditions for the integrated processes (f) over bar (u)(t) = integral(0)(u) integral(t)(nu) d nu to be semimartingales, and identify their various components. We recover the no-arbitrage conditions in models well known in the literature and, finally, we formulate a new random field model for interest rates and give its equivalent martingale measure (no-arbitrage) condition.
|Item Type:||Journal Article|
|Subjects:||Q Science > QA Mathematics|
|Journal or Publication Title:||ADVANCES IN APPLIED PROBABILITY|
|Publisher:||APPLIED PROBABILITY TRUST|
|Number of Pages:||20|
|Page Range:||pp. 415-434|
Actions (login required)