Björk, Tomas; Kabanov, Yuri; Runggaldier, Wolfgang Bond market structure in the presence of marked point processes. (English) Zbl 0884.90014 Math. Finance 7, No. 2, 211-239 (1997). Summary: 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 completeness and its relation to the uniqueness of a martingale measure. For the case of a finite jump spectrum we give a fairly general completeness result and for a Wiener-Poisson model we prove the existence of a time-independent set of basic bonds. We also give sufficient conditions for the existence of an affine term structure. Cited in 1 ReviewCited in 110 Documents MSC: 91B28 Finance etc. (MSC2000) 60G35 Signal detection and filtering (aspects of stochastic processes) Keywords:bond market; term structure of interest rtes; jump-diffusion model; measure-valued portfolio; arbitrage; market completeness; martingale operator; hedging operator; affine term structure PDFBibTeX XMLCite \textit{T. Björk} et al., Math. Finance 7, No. 2, 211--239 (1997; Zbl 0884.90014) Full Text: DOI