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https://hdl.handle.net/10419/66288
Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Riedel, Frank | en |
dc.date.accessioned | 2012-10-25 | - |
dc.date.accessioned | 2012-11-19T15:23:30Z | - |
dc.date.available | 2012-11-19T15:23:30Z | - |
dc.date.issued | 1997 | - |
dc.identifier.pi | urn:nbn:de:kobv:11-10064059 | en |
dc.identifier.uri | http://hdl.handle.net/10419/66288 | - |
dc.description.abstract | The unbiased expectations hypothesis states that forward rates are unbiased estimates for future short rates. Cox, Ingersoll and Ross [1] conjectured that this hypothesis should be inconsistent with the absence of arbitrage possibilities. Using the framework of Heath, Jarrow and Morton [4] we show that this is not always the case. The unbiased expectations hypothesis together with the existence of an equivalent martingale measure is equivalent to a certain condition on the volatilities of the forward rates. | en |
dc.language.iso | eng | en |
dc.publisher | |aHumboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |cBerlin | en |
dc.relation.ispartofseries | |aSFB 373 Discussion Paper |x1997,19 | en |
dc.subject.jel | G12 | en |
dc.subject.jel | E43 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | term structure of interest rates | en |
dc.subject.keyword | expectations hypotheses | en |
dc.title | A class of Health-Jarrow-Morton models in which the unbiased expectations hypothesis holds | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 728567407 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:sfb373:199719 | en |
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