Model-free nonparametric bounds for zero-coupon interest rates in bond markets without the no arbitrage principle
Author:
Affiliation:
1. HSE University, Moscow, Russia
Funder
Basic Research Program of National Research University Higher School of Economics
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/00036846.2021.1963659
Reference18 articles.
1. GOOD DEAL BOUNDS WITH CONVEX CONSTRAINTS
2. Are there arbitrage gaps in the UK gilt strips market?
3. Sequential Arbitrage Measurements and Interest Rate Envelopes
4. Balbás, A., and Y. Peng. 2015. “Sequential Arbitrage Measurement in Bond Markets: Theory and Empirical Applications in the Euro-zone.” Technical report. Madrid: Universidad Carlos III de Madrid.
5. Pricing without no-arbitrage condition in discrete time
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