Elliott, Robert J.; Tsoi, Allanus H.; Lui, Shiu Hong - In: Mathematical Methods of Operations Research 50 (1999) 1, pp. 149-160
In this paper we model the instantaneous spot interest rate in a financial market by means of a marked point process with bounded, predictable intensity. The transformed intensity of the point process vanishes when the interest rate leaves a prescribed bounded interval. We show that the pure...