DOMAIN RESTRICTIONS ON INTEREST RATES IMPLIED BY NO ARBITRAGE (Q3084600)

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DOMAIN RESTRICTIONS ON INTEREST RATES IMPLIED BY NO ARBITRAGE
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    title
    DOMAIN RESTRICTIONS ON INTEREST RATES IMPLIED BY NO ARBITRAGE (English)
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    author
    Christian Gouriéroux
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    Alain Monfort
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    publication date
    25 March 2011
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    zbMATH DE Number
    5870034
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    zbMATH Keywords
    arbitrage free
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    interest rates
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    affine term structure
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    Brennan-Schwartz model
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    regulation
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