Bonds and Term Structure

  • Robert J. Elliott
  • P. Ekkehard Kopp
Part of the Springer Finance book series (FINANCE)


Suppose (Ω, F, P) is a probability space and B t , 0 ≤ tT, is a Brownian motion, {F t } denotes the (complete, right-continuous) filtration generated by B. We first review the martingale pricing results of Chapter 7.


Term Structure Risky Asset Markov Chain Model Contingent Claim Standard Brownian Motion 
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Copyright information

© Springer Science+Business Media New York 1999

Authors and Affiliations

  • Robert J. Elliott
    • 1
  • P. Ekkehard Kopp
    • 2
  1. 1.Department of Mathematical SciencesUniversity of AlbertaEdmontonCanada
  2. 2.Pro-Vice-Chancellors’ OfficeThe University of HullHullUK

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