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No-arbitrage models of term structure have the feature that the return onzero-coupon bonds is the sum of the short rate and the product of volatilityand market price of risk. Well known models restrict the behavior of the marketprice of risk so that it is not dependent on the type of asset being modeled.We show that the models recently proposed by Goldstein and Santa-Clara andSornette, among others, allow the market price of risk to depend oncharacteristics of each asset, and we quantify this dependence. A key tool inour analysis is a very general space-time change of measure theorem, proved bythe first author in earlier work, and covers continuous orthogonal localmartingale measures including space-time white noise.

Market Price of Risk and Random Field Driven Models of Term Structure: A Space-Time Change of Measure Look