10 citations · 51 across the 22 of their papers we have counts for
Showing math.PRShow all
2 papers · 1 filter
math.PR2007★ 4 cited
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 $…
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…