Continuous-time term structure models: Forward measure approach
نویسندگان
چکیده
منابع مشابه
Continuous-time term structure models: Forward measure approach
The problem of term structure of interest rates modelling is considered in a continuous-time framework. The emphasis is on the bond prices, forward bond prices and so-called LIBOR rates, rather than on the instantaneous continuously compounded rates as in most traditional models. Forward and spot probability measures are introduced in this general set-up. Two conditions of noarbitrage between b...
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ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 1997
ISSN: 0949-2984,1432-1122
DOI: 10.1007/s007800050025