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Towards a General Theory of Bond Markets.

Björk, Tomas; di Masi, Giovanni; Kabanov, Yuri; … - Economics Institute for Research (SIR), … - 1996

The main purpose of the paper is to provide a mathematical background for the theory of bond markets similar to that available for stock markets. We suggest two constructions of stochastic integrals with respect to processes taking values in a space of continuous functions. Such integrals are...

Persistent link: https://www.econbiz.de/10005207189

Bond markets where prices are driven by a general marked point process

Björk, T.; Kabanov, Y.; Runggaldier, W. - Economics Institute for Research (SIR), … - 1995

We investigate the term structure for the case when interest rates are allowed to be driven by a general marked point process as well as by a Wiener process. Developing a theory which allows for measure-valued trading portfolios we study existence and uniqueness of a martingale measure, as well...

Persistent link: https://www.econbiz.de/10005649381

Interest Rate Theory - CIME Lectures 1996

Björk, Tomas - Economics Institute for Research (SIR), … - 1996

covered include: Bond markets, interest rates, arbitrage, martingale measures, completeness, short rate models, affine term …, minimization of arbitrage information. …

Persistent link: https://www.econbiz.de/10005651503

On Short Rate Processes and Their Implications for Term Structure Movements

Schl; oumlgl, Erik; Sommer, Daniel - University of Bonn, Germany - 1994

We compare short rate diffusion models with respect to their implications for term structure movements, the plausiblity of which serves us as a criterion for evaluating the models. Analytically for Gauss-Markov models and numerically for a broader collection of models prevalent in the...

Persistent link: https://www.econbiz.de/10004968248

Closed Form Term Structure Derivatives in a Heath-Jarrow- Morton Model with Log-Normal Annually Compounded Interest Rates

Sondermann, D.; Miltersen, K. - University of Bonn, Germany - 1994

Starting with observable annually compounded forward rates we derive a term structure model of interest rates. The model relies upon the assumption that a specific set of annually compounded forward rates is log-normally distributed. We derive solutions for interest rate caps and floors as well...

Persistent link: https://www.econbiz.de/10004968277

Credit Bubbles in Arbitrage Markets : The Geometric Arbitrage Approach to Credit Risk

Farinelli, Simone - 2019

We apply Geometric Arbitrage Theory to obtain results in mathematical finance for credit markets, which do not need … dynamics for credit market allowing for arbitrage possibilities. Moreover, arbitrage credit bubbles for both base credit assets … and credit derivatives are explicitly computed for the market dynamics minimizing the arbitrage …

Persistent link: https://www.econbiz.de/10012904838

Capital structure arbitrage under a risk-neutral calibration

Zeitsch, Peter J. - In: Journal of risk and financial management : JRFM 10 (2017) 1, pp. 1-23

arbitrage opportunities is illustrated. The approach seeks to hedge the volatility risk, or vega, as opposed to the exposure … from the underlying equity itself, or delta. The results question the efficacy of the common arbitrage strategy of only …

Persistent link: https://www.econbiz.de/10011619118

A Libor market model with default risk

Schönbucher, Philipp J. - 2000 - This version December 2000

straightforward derivation of the no-arbitrage dynamics of forward rates and forward credit spreads. The model can be calibrated to …

Persistent link: https://www.econbiz.de/10011539796

The term structure of risk premia : new evidence from the financial crisis

Berg, Tobias - 2010

This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward sloping during the crisis. The instantaneous risk...

Persistent link: https://www.econbiz.de/10003971282

The joint estimation of term structures and credit spreads

Houweling, Patrick; Hoek, Jaap; Kleibergen, Frank - 1999

We present a new framework for the joint estimation of the default-free government term structure and corporate credit spread curves. By using a data set of liquid, German mark denominated bonds, we show that this yields more realistic spreads than traditionally obtained spread curves that...

Persistent link: https://www.econbiz.de/10011301164

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