Abstract
This paper derives domain restrictions on interest rates implied by no-arbitrage. These restrictions are important for the study of arbitrage opportunities on bond markets, for regulation of these markets, and for econometric modelling.
| Original language | English |
|---|---|
| Pages (from-to) | 281-291 |
| Number of pages | 11 |
| Journal | Mathematical Finance |
| Volume | 21 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - 1 Apr 2011 |
| Externally published | Yes |
Keywords
- Affine term structure
- Arbitrage free
- Brennan-Schwartz model
- Interest rates
- Regulation