Price-admissibility conditions for arbitrage-free linear price function models for the term structure of interest rates
type: Item
instance of: scholarly article
zbMATH Open document ID: 1349.91292
author: Andrew F. Siegel
published in: Mathematical Finance
publication date: 2016-11-01T00:00:00Z
Mathematics Subject Classification ID: 91G30
zbMATH DE Number: 6646429
zbMATH Keywords: term structure
zbMATH Keywords: interest rates
zbMATH Keywords: yields
zbMATH Keywords: bonds
zbMATH Keywords: linear price model
MaRDI profile type: Publication
full work available at URL: mafi.12075
OpenAlex ID: W1803291106
cites work: A theory of the nominal term structure of interest rates.
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cites work: Pricing Interest-Rate-Derivative Securities
cites work: The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
cites work: An equilibrium characterization of the term structure
DOI: 10.1111/MAFI.12075
title: Price-admissibility conditions for arbitrage-free linear price function models for the term structure of interest rates
description: scientific article; zbMATH DE number 6646429