Domain Restrictions On Interest Rates Implied By No Arbitrage

C. Gourieroux; A. Monfort

doi:10.1111/j.1467-9965.2010.00429.x

Domain Restrictions On Interest Rates Implied By No Arbitrage

C. Gourieroux
, A. Monfort

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

Résumé

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.

langue originale	Anglais
Pages (de - à)	281-291
Nombre de pages	11
journal	Mathematical Finance
Volume	21
Numéro de publication	2
Les DOIs	https://doi.org/10.1111/j.1467-9965.2010.00429.x
état	Publié - 1 avr. 2011
Modification externe	Oui

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10.1111/j.1467-9965.2010.00429.x

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author = "C. Gourieroux and A. Monfort",

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KW - Interest rates

KW - Regulation

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Domain Restrictions On Interest Rates Implied By No Arbitrage

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