An Arbitrage Theory of the Term Structure of Interest Rates资料.pdf

An Arbitrage Theory of the Term Structure of Interest Rates Author(s): Kristian R. Miltersen Source: The Annals of Applied Probability, Vol. 4, No. 4 (Nov., 1994), pp. 953-967 Published by: Institute of Mathematical Statistics Stable URL: /stable/2245075 Accessed: 21/04/2010 01:07 Your use of the JSTOR archive indicates your acceptance of JSTORs Terms and Conditions of Use, available at /page/info/about/policies/terms.jsp. JSTORs Terms and Conditions of Use provides, in part, that unless you have obtained prior permission, you may not download an entire issue of a journal or multiple copies of articles, and you may use content in the JSTOR archive only for your personal, non-commercial use. Please contact the publisher regarding any further use of this work. Publisher contact information may be obtained at /action/showPublisher?publisherCode=ims. Each copy of any part of a JSTOR transmission must contain the same copyright notice that appears on the screen or printed page of such transmission. JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms of scholarship. For more information about JSTOR, please contact support@. Institute of Mathematical Statistics is collaborating with JSTOR to digitize, preserve and extend access to The Annals of Applied Probability. The Annals of Applied Probability 1994, Vol. 4, No. 4, 953-967 AN ARBITRAGE THEORY OF THE TERM STRUCTURE OF INTEREST RATES1 BY R. MILTERSEN KRISTIAN Odense Universitet In the setting of the Heath-Jarrow-Morton model, this paper pre- sents sufficient