CONSISTENT PARALLEL AND PROPORTIONAL SHIFTS IN THE TERM STRUCTURE OF FUTURES PRICES

DOI10.1142/S0219024915500065zbMath1337.91099OpenAlexW2098767512MaRDI QIDQ5245891

Mia Hinnerich

Publication date: 15 April 2015

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

Full work available at URL: https://doi.org/10.1142/s0219024915500065

zbMATH Keywords

affinefutures pricesterm structureconsistentparallel shift

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• New no-arbitrage conditions and the term structure of interest rate futures
• Yield curve shapes and the asymptotic short rate distribution in affine one-factor models
• Existence of invariant manifolds for stochastic equations in infinite dimension
• Interest Rate Dynamics and Consistent Forward Rate Curves
• On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models
• A Theory of the Term Structure of Interest Rates
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Term Structure Models with Parallel and Proportional Shifts
• ON FINITE DIMENSIONAL REALIZATIONS FOR THE TERM STRUCTURE OF FUTURES PRICES
• Arbitrage Theory in Continuous Time
• Consistency problems for Heath-Jarrow-Morton interest rate models

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