A problem of risk neutral probability density function estimation for prices of risky assets is discussed when the asset pricing model uses exponential random process with independent increments. The structure of increments consists of two components: systematic drift and a random gamma...

The term structure of interest rates plays the key role in pricing of bonds. Therefore its properties are interesting for many financial analysts. However in literary sources usually a sketchy description of properties of term structure occurs. In this paper an attempt of detailed description of...