4 citations · 5 across the 4 of their papers we have counts for
4 papers
Market Price of Risk and Random Field Driven Models of Term Structure: A Space-Time Change of Measure Look
Hassan Allouba, Victor Goodman
No-arbitrage models of term structure have the feature that the return on zero-coupon bonds is the sum of the short rate and the product of volatility and market price of risk. Wel…
Exponential Martingales and Time integrals of Brownian Motion
Victor Goodman, Kyounghee Kim
We find a simple expression for the probability density of in terms of its distribution function and the distribution function for the time integral of $…
Brownian Super-exponents
Victor Goodman
We introduce a transform on the class of stochastic exponentials for d-dimensional Brownian motions. Each stochastic exponential generates another stochastic exponential under the…
One-Factor Term Structure without Forward Rates
Victor Goodman, Kyounghee Kim
We construct a no-arbitrage model of bond prices where the long bond is used as a numeraire. We develop bond prices and their dynamics without developing any model for the spot rat…