Continuous-Time Term Structure Models
Year of publication: |
1996-06
|
---|---|
Authors: | Musiela, Marek ; Rutkowski, Marek |
Institutions: | University of Bonn, Germany |
Subject: | term structure of interest rates | forward measure | martingale |
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Convergence of arbitrage-free discrete time Markovian market models
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Stochastic flows and the forward measure
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On the fundamental theorem of asset pricing: random constraints and bang-bang no-arbitrage criteria
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On the existence and characterization of arbitrage-free measures in contingent claim valuation
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Different Dynamical Specifications of the Term Structure of Interest Rates and their Implications
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On the existence of arbitrage-free measures in contingent claim valuation
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