Add to ORKGAssuming 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
In the "positive interest" models of Flesaker-Hughston, the nominal discount bond system is determin...
We show a class of stochastic volatility price models for which the most natural candidates for mart...
We briefly recall some essential notions on interest rates and zero-coupon bonds. We then de ne a so...
Abstract. Assuming that the forward rates fut are semimartingales, we give conditions on their compo...
AbstractMartingale methods are used to study interest rate risk in a market with two fundamental ass...
In the setting of the Heath-Jarrow-Morton model this paper presents sufficient conditions to assure...
This dissertation provides an introduction to the concept of no arbitrage pricing and probability me...
An interest rate model is described in which randomness in the short-term interest rate is due entir...
To the memory of our friend and colleague Oliviero Lessi. Abstract. The main purpose of the paper is...
In this study we investigate equivalent martingale measures for exponential NIG- Lévy processes. Lév...
Abstract: "Optimal fictitious completions of an incomplete financial market are shown to be associat...
In the ‘positive interest’ models of Flesaker-Hughston, the nominal discount bond system is determin...
absence of arbitrage implies that there exists a linear functional that values all con-tingent claim...
This paper has two purposes. The first is to extend the notions of an n-dimensional semimartingale a...
In the context of jump-diffusion market models we construct examples that satisfy the weaker no-arbi...
In the "positive interest" models of Flesaker-Hughston, the nominal discount bond system is determin...
We show a class of stochastic volatility price models for which the most natural candidates for mart...
We briefly recall some essential notions on interest rates and zero-coupon bonds. We then de ne a so...
Abstract. Assuming that the forward rates fut are semimartingales, we give conditions on their compo...
AbstractMartingale methods are used to study interest rate risk in a market with two fundamental ass...
In the setting of the Heath-Jarrow-Morton model this paper presents sufficient conditions to assure...
This dissertation provides an introduction to the concept of no arbitrage pricing and probability me...
An interest rate model is described in which randomness in the short-term interest rate is due entir...
To the memory of our friend and colleague Oliviero Lessi. Abstract. The main purpose of the paper is...
In this study we investigate equivalent martingale measures for exponential NIG- Lévy processes. Lév...
Abstract: "Optimal fictitious completions of an incomplete financial market are shown to be associat...
In the ‘positive interest’ models of Flesaker-Hughston, the nominal discount bond system is determin...
absence of arbitrage implies that there exists a linear functional that values all con-tingent claim...
This paper has two purposes. The first is to extend the notions of an n-dimensional semimartingale a...
In the context of jump-diffusion market models we construct examples that satisfy the weaker no-arbi...
In the "positive interest" models of Flesaker-Hughston, the nominal discount bond system is determin...
We show a class of stochastic volatility price models for which the most natural candidates for mart...
We briefly recall some essential notions on interest rates and zero-coupon bonds. We then de ne a so...