4 citations · 5 across the 4 of their papers we have counts for
Showing 2006 · math.PRShow all
2 papers · 2 filters
math.PR2006
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…
math.PR2006★ 1 cited
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…