DOMAIN RESTRICTIONS ON INTEREST RATES IMPLIED BY NO ARBITRAGE

DOI10.1111/j.1467-9965.2010.00429.xzbMath1214.91120OpenAlexW1794412261MaRDI 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

regulationinterest ratesaffine term structurearbitrage freeBrennan-Schwartz model

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (1)

Discrete time Wishart term structure models

Cites Work

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• Consistency problems for Heath-Jarrow-Morton interest rate models

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