On the martingale framework for futures prices

Stochastic Processes and their Applications

Volumn 109, Issue 1, 2004, Pages 69-77

  Pozdnyakov, Vladimir ^a   Steele, J Michael ^b  

^a UNIVERSITY OF CONNECTICUT   (United States)

^b UNIVERSITY OF PENNSYLVANIA   (United States)

Author keywords

Arbitrage pricing; Equivalent martingale measures; Futures prices; Heath Jarrow Morton models; Interest rates; LIBOR futures prices

Indexed keywords

EID: 0242720143     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2003.09.003     Document Type: Article

References (9)

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3. Duffie D. Dynamic Asset Pricing Theory 3rd Edition 2001 Princeton University Press Princeton, NJ
4. Heath D. Jarrow R. Morton A. Bond pricing and the term structure of interest rates. A new methodology for contingent claim valuation Econometrica 60 1992 77-105
5. Hogan M. Problems in certain two-factor term structure models Ann. Appl. Probab. 2 1993 576-581
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