Schweizer, Martin; Stricker, Christophe; DÃberlein, Frank - In: Finance and Stochastics 4 (2000) 4, pp. 431-442
An implied savings account for a given term structure model is a strictly positive predictable process A of finite variation such that zero coupon bond prices are given by $B(t,T)=E^Q\left[{A_t \over A_T} \Big| {\cal F}_t \right]$ for some Q equivalent to the original probability measure. We...
