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

Tomas Bjork, Y. Kabanov and W. Runggaldier
Additional contact information
Y. Kabanov: Laboratoire de Mathematiques, Postal: Université de Franche-Comte, 16 Route de Gray, F- 25030 Besancon Cedex FRANCE
W. Runggaldier: Dipartimento di Matematica Pura e Applicata, Postal: Università di Padova, Via Belzoni 7, 35131 Padova, ITALY
Authors registered in the RePEc Author Service: Юрий Михайлович Кабанов

No 88, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: 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 as completeness of the bond market. We also give sufficient conditions for the existence of an affine term structure. Developing the appropriate forward measures we give formulas for interest rate derivatives.

Keywords: Term structure of interest rates; arbitrage; bond markets; interest rates; martingales; jump processes; completeness; affine term structure (search for similar items in EconPapers)
JEL-codes: G12 G13 (search for similar items in EconPapers)
Pages: 64 pages
Date: 1995-12
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Published in Mathematical Finance, 1997, pages 211-239.

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Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0088

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