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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 84, 2012 - Issue 5-6: The Mark H.A. Davis festschrift: stochastics, control and finance
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Original Articles

Rational term structure models with geometric Lévy martingales

Dorje C. Brody Mathematical Sciences, Brunel University, Uxbridge, UB8 3PH, UKCorrespondence[email protected]
,
Lane P. Hughston Department of Mathematics, University College London, London, WC1E 6BT, UK; Department of Mathematics, Imperial College London, London, SW7 2BZ, UK
&
Ewan Mackie Instituto Nacional de Matimática Pura e Aplicada, Estrada Dona Castorina 110, Jardim Botânico, Rio de Janeiro, 22460-320, Brazil; Imperial College Business School, London, SW7 2BZ, UK
Pages 719-740 | Received 09 Dec 2010, Accepted 26 Apr 2012, Published online: 25 Jun 2012

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