ESTIMATES OF THE SHORT-TERM RATE PROCESS IN AN ARBITRAGE-FREE FRAMEWORK

DOI10.1142/S0219024904002566zbMath1088.91035OpenAlexW2012349126MaRDI QIDQ4653041

Hossein Kazemi, Mahnaz Mahdavi, Brett Salazar

Publication date: 28 February 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024904002566

zbMATH Keywords

arbitragevolatilityrisk premiumforward rateInterest rates

Mathematics Subject Classification ID

Cites Work

• Unnamed Item
• Large Sample Properties of Generalized Method of Moments Estimators
• A Theory of the Term Structure of Interest Rates
• Hypothesis Testing with Efficient Method of Moments Estimation
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• An equilibrium characterization of the term structure

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