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Summary Nonlinear dynamics in the term structure of German interest rates resulting from heterogenous transaction costs in the money market are analysed by means of the smooth transition technique introduced by Granger and Teräsvirta (1993). Tests for linearity, specific functional forms and...
Persistent link: https://www.econbiz.de/10014608696
Abstract We apply a structural pricing model to bond market data in order to estimate the default risk for Argentina in 2000/2001. The model explicitly considers short-term and long-term debt service payments and their dependencies by employing compound option theory. In this way, it is possible...
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space H. In this setting we show the equivalence of market completeness and the uniqueness of the equivalent martingale … reference measure to a unique, locally equivalent, martingale measure. If X has continuous paths, the absence of general … asymptotic arbitrage is equivalent to the existence of an equivalent local martingale measure. Furthermore, we give a sufficient …
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