PRICE-ADMISSIBILITY CONDITIONS FOR ARBITRAGE-FREE LINEAR PRICE FUNCTION MODELS FOR THE TERM STRUCTURE OF INTEREST RATES-Reference-Cited by-同舟云学术

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PRICE-ADMISSIBILITY CONDITIONS FOR ARBITRAGE-FREE LINEAR PRICE FUNCTION MODELS FOR THE TERM STRUCTURE OF INTEREST RATES

Published:2014-09-03 Issue:4 Volume:26 Page:919-938
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Siegel Andrew F.¹

Affiliation:

1. University of Washington

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/mafi.12075/fullpdf

Reference25 articles.

1. A Parametric Nonlinear Model of Term Structure Dynamics;Ahn;Rev. Finan. Stud.,1999

2. Quadratic Term Structure Models: Theory and Evidence;Ahn;Rev. Finan. Stud.,2002

3. Testing Continuous-Time Models of the Spot Interest Rate;Aït-Sahalia;Rev. Finan. Stud.,1996

4. Corrections and Additions to “A Nonlinear Equilibrium Model of the Term Structure of Interest Rates,”;Beaglehole;J. Finan. Econ.,1992

5. Carr , P. X. Gabaix L. Wu 2011 Linearity-Generating Processes, Unspanned Stochastic Volatility, and Interest-Rate Option Pricing http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1789763

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. POLYNOMIAL TERM STRUCTURE MODELS;International Journal of Theoretical and Applied Finance;2021-03

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