An equivalent !-martingale measure (E!MM) for a given stochastic process Sis a probability measure R equivalent to the original measure P such that S isan R-!-martingale. Existence of an E!MM is equivalent to a classical absenceof-arbitrage property of S, and is invariant if we replace the...

Bei den linearen und loglinearen Modellen der Statistik handelt es sich um moderne Analysemethoden für qualitative Daten, welche in Psychologie und den Sozialwissenschaften weitaus häufiger anfallen als quantitative Daten. Mit dem Buch wirddie Darstellung der Theorie der genannten...

The lognormal distribution assumption for the term structure of interest is the most natural way to exclude negative spot and forward rates. However, imposing this assumption on the continuously compounded interest rate has a serious drawback: rates explode and expected rollover returns are...

A term structure model with lognormal type volatility structure is proposed. The Heath, Jarrow and Morton (HJM) framework, coupled with the theory of stochastic evolution equations in infinite dimensions, is used to show that the resulting rates are well defined (they do not explode) and remain...