Bond market structure in the presence of marked point processes

Mathematical Finance

Volumn 7, Issue 2, 1997, Pages 211-239

  Björk, Tomas ^a   Kabanov, Yuri ^b   Runggaldier, Wolfgang ^c  

^a STOCKHOLM SCHOOL OF ECONOMICS   (Sweden)

^b UNIVERSITÉ DE FRANCHE COMTÉ   (France)

^c UNIVERSITY OF PADOVA   (Italy)

Author keywords

Affine term structure; Arbitrage; Bond market; Hedging operator; Jump diffusion model; Market completeness; Martingale operator; Measure valued portfolio; Term structure of interest rates

Indexed keywords

EID: 0040063549     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00031     Document Type: Article

References (19)

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