Arbitrage bounds for the term structure of interest rates
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Publication:1381485
DOI10.1007/s007800050031zbMath0892.90016OpenAlexW2569851006MaRDI QIDQ1381485
Publication date: 27 April 1998
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s007800050031
linear programmingsmoothing splinesterm structure of interest ratesduality theoryyield curvearbitrage boundssmooth estimator of the term structure
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Deriving implied risk-free interest rates from bond and CDS quotes: a model-independent approach ⋮ Non-asymptotic bounds for the \(\ell_{\infty}\) estimator in linear regression with uniform noise ⋮ Sequential arbitrage measurements and interest rate envelopes ⋮ Stochastic measures of arbitrage.
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