PRICE-ADMISSIBILITY CONDITIONS FOR ARBITRAGE-FREE LINEAR PRICE FUNCTION MODELS FOR THE TERM STRUCTURE OF INTEREST RATES

DOI10.1111/mafi.12075zbMath1349.91292OpenAlexW1803291106MaRDI QIDQ2831007

Andrew F. Siegel

Publication date: 1 November 2016

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12075

zbMATH Keywords

interest ratesterm structurebondsyieldslinear price model

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (1)

POLYNOMIAL TERM STRUCTURE MODELS

Cites Work

• Unnamed Item
• A Theory of the Term Structure of Interest Rates
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities

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