Bond markets where prices are driven by a general marked point process
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References listed on IDEAS
- Robert Jarrow & Dilip Madan, 1995. "Option Pricing Using The Term Structure Of Interest Rates To Hedge Systematic Discontinuities In Asset Returns," Mathematical Finance, Wiley Blackwell, vol. 5(4), pages 311-336.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Schönbucher, Philipp J., 1996. "The Term Structure of Defaultable Bond Prices," Discussion Paper Serie B 384, University of Bonn, Germany.
- C. Mancini, 2002. "The European options hedge perfectly in a Poisson-Gaussian stock market model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 9(2), pages 87-102.
- Vilimir Yordanov, 2012. "The Bulgarian Foreign and Domestic Debt ??? A No-Arbitrage Macrofinancial View," William Davidson Institute Working Papers Series wp1032, William Davidson Institute at the University of Michigan.
More about this item
KeywordsTerm structure of interest rates; arbitrage; bond markets; interest rates; martingales; jump processes; completeness; affine term structure;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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