New no-arbitrage conditions and the term structure of interest rate futures
type: Item
instance of: scholarly article
title: New no-arbitrage conditions and the term structure of interest rate futures
zbMATH Open document ID: 1233.91287
author: Kristian R. Miltersen
author: Klaus Sandmann
author: Jørgen Aase Nielsen
published in: Annals of Finance
publication date: 2012-03-06T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G30
zbMATH DE Number: 6012306
zbMATH Keywords: no-arbitrage restrictions
zbMATH Keywords: term structure of interest rates
zbMATH Keywords: interest rate futures
zbMATH Keywords: change of measure
MaRDI profile type: Publication
full work available at URL: s10436-006-0040-4
OpenAlex ID: W3122720222
cites work: The Market Model of Interest Rate Dynamics
cites work: Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
cites work: Q4484762
cites work: An equilibrium characterization of the term structure
DOI: 10.1007/S10436-006-0040-4
description: scientific article; zbMATH DE number 6012306