DOMAIN RESTRICTIONS ON INTEREST RATES IMPLIED BY NO ARBITRAGE

被引：0
|
作者：
Gourieroux, C. [2 ,3 ]
Monfort, A. [1 ,4 ]
机构：
[1] CREST, Banque France, F-92240 Malakoff, France
[2] CREST, CEPREMAP, F-92240 Malakoff, France
[3] Univ Toronto, Toronto, ON M5S 1A1, Canada
[4] Maastricht Univ, Maastricht, Netherlands
来源：
MATHEMATICAL FINANCE | 2011年 / 21卷 / 02期
基金：
加拿大自然科学与工程研究理事会;
关键词：
arbitrage free; interest rates; affine term structure; Brennan-Schwartz model; regulation; TERM STRUCTURE; MODELS; LONG;
D O I：
10.1111/j.1467-9965.2010.00429.x
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
引用
收藏
页码：281 / 291
页数：11
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