Different Dynamical Specifications of the Term Structure of Interest Rates and their Implications
AbstractAlternative ways of introducing uncertainty to the term structure of interest rates are considered. They correspond to the different expectation hypotheses. The dynamics of the term structure is analysed in a convenient framework of stochastic equations in infinite dimensions.
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Bibliographic InfoPaper provided by University of Bonn, Germany in its series Discussion Paper Serie B with number 260.
Date of creation: Nov 1993
Date of revision:
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term structure of interest rates; expectation hypothesis; stochastic equations in infinite dimensions.;
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- K. Sandmann & Sandmann, K., 1995. "The Direct Approach to Debt Option Pricing," Discussion Paper Serie B 212, University of Bonn, Germany.
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1981. "A Re-examination of Traditional Hypotheses about the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 36(4), pages 769-99, September.
- Robert A. Jarrow, 2009. "The Term Structure of Interest Rates," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 69-96, November.
- Rady, Sven, 1994. "The Direct Approach to Debt Option Pricing," Munich Reprints in Economics 3404, University of Munich, Department of Economics.
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