Bond Market Structure in the Presence of Marked Point Processes

Tomas Bjork, Yuri Kabanov and Wolfgang Runggaldier
Authors registered in the RePEc Author Service: Юрий Михайлович Кабанов

Mathematical Finance, 1997, vol. 7, issue 2, 211-239

Abstract: We investigate the term structure of zero coupon bonds when interest rates are driven by a general marked point process as well as by a Wiener process. Developing a theory that allows for measure–valued trading portfolios, we study existence and uniqueness of a martingale measure. We also study completeness and its relation to the uniqueness of a martingale measure. For the case of a finite jump spectrum we give a fairly general completeness result and for a Wiener–Poisson model we prove the existence of a time–independent set of basic bonds. We also give sufficient conditions for the existence of an affine term structure.

Date: 1997
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Persistent link: https://EconPapers.repec.org/RePEc:bla:mathfi:v:7:y:1997:i:2:p:211-239

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