A substantial applications literature on pricing by arbitrage has effectively restricted information to that arising solely from securities markets; return distributions are then governed solely by past prices. We reconsider pricing by arbitrage in markets rendered incomplete by arbitrary...

We present an economically motivated two-factor term structure model that generalizes existing stochastic mean term structure models. By allowing a certain parameter to acquire dynamical behavior we extend the two-factor model to obtain a nonlinear three-factor model that is shown, in a...