Arbitrage bounds for the term structure of interest rates

DOI10.1007/s007800050031zbMath0892.90016OpenAlexW2569851006MaRDI QIDQ1381485

Stefan R. Jaschke

Publication date: 27 April 1998

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800050031

zbMATH Keywords

linear programmingsmoothing splinesterm structure of interest ratesduality theoryyield curvearbitrage boundssmooth estimator of the term structure

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Linear programming (90C05) Microeconomic theory (price theory and economic markets) (91B24) Statistical methods; economic indices and measures (91B82)

Related Items (4)

Deriving implied risk-free interest rates from bond and CDS quotes: a model-independent approach ⋮ Non-asymptotic bounds for the \(\ell_{\infty}\) estimator in linear regression with uniform noise ⋮ Sequential arbitrage measurements and interest rate envelopes ⋮ Stochastic measures of arbitrage.

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