Term Structure of Interest Rates and Implied Market Frictions: The Min–Max Approach

DOI10.1287/mnsc.49.7.965.16379zbMath1232.91681OpenAlexW2059807910MaRDI QIDQ3114861

Ioulia D. Ioffe, Eliezer Z. Prisman

Publication date: 19 February 2012

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.49.7.965.16379

zbMATH Keywords

interest ratesmin-maxarbitrage term structureimplied market functions

Mathematics Subject Classification ID

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

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