Bond Market Structure in the Presence of Marked Point Processes

• 1 April 1997
• journal article
• Published by Wiley in Mathematical Finance
• Vol. 7  (2) , 211-239
• https://doi.org/10.1111/1467-9965.00031

Abstract

Keywords

• BOND MARKET
• TERM STRUCTURE OF INTEREST RATES
• JUMP–DIFFUSION MODEL
• MEASURE–VALUED PORTFOLIO
• ARBITRAGE
• MARKET COMPLETENESS
• MARTINGALE OPERATOR
• HEDGING OPERATOR
• AFFINE TERM STRUCTURE