A tractable yield-curve model that guarantees positive interest rates

A model of discontinuous interest rate b

A model of discontinuous interest rate behavior, yield curves, and volatility

✍ Steven L. Heston 📂 Article 📅 2007 🏛 Springer US 🌐 English ⚖ 344 KB

092061 (E50, M12) A tractable term struc

092061 (E50, M12) A tractable term structure model with endogenous interpolation and positive interest rates : Schlöegl E., Presented at the International Workshop on The Interplay between Insurance, Finance and Control, organized by the Mathematical Research Centre at Aarhus University, also supported by the Danish Science Research Council and the Centre for Analytical Finance

📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 190 KB

## semi-martingale S the condition of No Free Lunch with Vanishing Risk is equivalent to the existence of an equivalent local martingale measure for the process S. It was asked whether the local boundedness assumption on S may be dropped. In recent joint work with F. Delbaen, the authors have show