General Quadratic Term Structures of Bond, Futures and Forward Prices
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Keywordsterm structure; bond price; futures price; forward price; affine term structure; quadratic term structure;
- 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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-04-04 (All new papers)
- NEP-CFN-2004-04-04 (Corporate Finance)
- NEP-FIN-2004-04-04 (Finance)
- NEP-FMK-2004-04-04 (Financial Markets)
- NEP-RMG-2004-04-04 (Risk Management)
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