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New No-arbitrage Conditions and the Term Structure of Interest Rate Futures

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Author Info
Kristian Miltersen ()
J. Nielsen ()
Klaus Sandmann ()

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Abstract

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File URL: http://hdl.handle.net/10.1007/s10436-006-0040-4
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Publisher Info
Article provided by Springer in its journal Annals of Finance.

Volume (Year): 2 (2006)
Issue (Month): 3 (July)
Pages: 303-325
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Handle: RePEc:kap:annfin:v:2:y:2006:i:3:p:303-325

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Web page: http://www.springerlink.com/link.asp?id=112370

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Related research
Keywords: No-arbitrage restrictions; Term structure of interest rates; Interest rate futures; Change of measure; G13;

References listed on IDEAS
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  1. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November. [Downloadable!] (restricted)
  2. Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January. [Downloadable!] (restricted)
  3. Breeden, Douglas T & Litzenberger, Robert H, 1978. "Prices of State-contingent Claims Implicit in Option Prices," Journal of Business, University of Chicago Press, vol. 51(4), pages 621-51, October. [Downloadable!] (restricted)
  4. Cox, John C. & Ingersoll, Jonathan Jr. & Ross, Stephen A., 1981. "The relation between forward prices and futures prices," Journal of Financial Economics, Elsevier, vol. 9(4), pages 321-346, December. [Downloadable!] (restricted)
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