The Emm Conditions in a General Model for Interest Rates
نویسندگان
چکیده
Abstract. Assuming that the forward rates f t are semimartingales, we give conditions on their components for the discounted bond prices to be martingales. To achieve this we give sufficient conditions for the integrated processes f̄ t = ∫ u 0 f t dv to be semimartingales and identify their various components. We recover the no-arbitrage conditions in well-known models in the literature, and finally, we formulate a new random field model for interest rates and give its EMM (no-arbitrage) condition.
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تاریخ انتشار 2004