DOMAIN RESTRICTIONS ON INTEREST RATES IMPLIED BY NO ARBITRAGE

DOI10.1111/j.1467-9965.2010.00429.xzbMath1214.91120MaRDI QIDQ3084600

Christian Gouriéroux, Alain Monfort

Publication date: 25 March 2011

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00429.x

zbMATH Keywords

regulation; interest rates; affine term structure; arbitrage free; Brennan-Schwartz model

Mathematics Subject Classification ID

91G80: Financial applications of other theories

91G30: Interest rates, asset pricing, etc. (stochastic models)

Related Items

Discrete time Wishart term structure models

Cites Work

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