Title: Bond Market Structure in the Presence of Marked Point Processes
Abstract: We 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.
Publication Year: 1997
Publication Date: 1997-04-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 405
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