AN ARBITRAGE THEORY OF THE TERM STRUCTURE OF INTEREST RATES
成果类型：
Article
署名作者：
Miltersen, Kristian R.
署名单位：
University of Southern Denmark
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
DOI：
10.1214/aoap/1177004898
发表日期：
1994
页码：
953-967
关键词：
摘要：
In the setting of the Heath-Jarrow-Morton model, this paper presents sufficient conditions to assure that the stochastic forward rates are strictly positive while maintaining the martingale property of the discounted bond price processes in the case where the stochastic forward rates are described as stochastic differential equations with explicitly state dependent stochastic volatility. Moreover, the stochastic development of the term structure of interest rates is generalized to be described by a class of continuous local martingales instead of Wiener processes. An example showing that this is a true extension of the Heath-Jarrow-Morton model is provided.