Bond Market Structure in the Presence of Marked Point Processes
AbstractWe 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. Copyright Blackwell Publishers Inc. 1997.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Mathematical Finance.
Volume (Year): 7 (1997)
Issue (Month): 2 ()
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627
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