A Note on the Behavior of Long Zero Coupon Rates in a No Arbitrage Framework.

This paper investigates the behavior of long zero-coupon rates and its consequences for usual arbitrage models of the term structure.

Year of publication:	1996
Authors:	El Karoui, N. ; Frachot, A. ; Geman, H.
Subject:	INTEREST RATE \| MATHEMATICS \| ECONOMETRICS

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Type of publication:	Book / Working Paper
Notes:	23 pages
Classification:	C10 - Econometric and Statistical Methods: General. General ; C19 - Econometric and Statistical Methods: General. Other ; E40 - Money and Interest Rates. General ; E43 - Determination of Interest Rates; Term Structure Interest Rates
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005035860