Term Structure Equations Under Benchmark Framework
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Other versions of this item:
- El Qalli, Yassine, 2009. "Term Structure Equations Under Benchmark Framework," MPRA Paper 15667, University Library of Munich, Germany.
References listed on IDEAS
- Eckhard Platen, 2003. "An Alternative Interest Rate Term Structure Model," Research Paper Series 97, Quantitative Finance Research Centre, University of Technology, Sydney.
- Eckhard Platen, 2001. "Arbitrage in Continuous Complete Markets," Research Paper Series 72, Quantitative Finance Research Centre, University of Technology, Sydney.
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KeywordsTerm structure; Benchmark approach; GOP; Forward price; bond.;
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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