Different Dynamical Specifications of the Term Structure of Interest Rates and their Implications
Alternative 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.
|Date of creation:||Nov 1993|
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- 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 769-799, September.
- Rady, Sven, 1994. "The Direct Approach to Debt Option Pricing," Munich Reprints in Economics 3404, University of Munich, Department of Economics.
- K. Sandmann & Sandmann, K., 1995. "The Direct Approach to Debt Option Pricing," Discussion Paper Serie B 212, University of Bonn, Germany.
- Robert A. Jarrow, 2009. "The Term Structure of Interest Rates," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 69-96, November.
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