DOMAIN RESTRICTIONS ON INTEREST RATES IMPLIED BY NO ARBITRAGE-Reference-Cited by-同舟云学术

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DOMAIN RESTRICTIONS ON INTEREST RATES IMPLIED BY NO ARBITRAGE

Published:2010-09-22 Issue: Volume: Page:no-no
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:

Author:

Gourieroux C.,Monfort A.

Publisher

Wiley

Subject

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

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9965.2010.00429.x/fullpdf

Reference34 articles.

1. Thinking Coherently;Artzner;Risk,1997

2. Interest Rate Dynamics and Consistent Forward Rate Curves;Björk;Math. Finance,1999

3. Interest Rates as Options;Black;J. Finance,1995

4. A Continuous Time Approach to the Pricing of Bonds;Brennan;J. Banking Finance,1979

5. Conditional Prediction of Bond Prices and Returns;Brennan;J. Finance,1980

Cited by 5 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. A Term Structure Model with Level Factor Cannot Be Realistic and Arbitrage Free;SSRN Electronic Journal;2012

2. Discrete time Wishart term structure models;Journal of Economic Dynamics and Control;2011-06

3. BILINEAR TERM STRUCTURE MODEL;Mathematical Finance;2010-09-14

4. Switching Varma Term Structure Models - Extended Version;SSRN Electronic Journal;2007

5. Switching Varma Term Structure Models - Extended Version;SSRN Electronic Journal;2006

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