Björk, Tomas; Kabanov, Yuri; Runggaldier, Wolfgang - In: Mathematical Finance 7 (1997) 2, pp. 211-239
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...