Arbitrage with Fixed Costs and Interest Rate Models
Year of publication: |
2006-12
|
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Authors: | Jouini, Elyès ; Napp, Clotilde |
Institutions: | Université Paris-Dauphine (Paris IX) |
Subject: | Arbitrage | fixed costs | contingent claims pricing | interest rate models | long zero-coupon rates | Dybvig Ingersoll and Ross | Brennan and Schwartz | barrier models |
Series: | |
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Type of publication: | Book / Working Paper |
Notes: | Published in Journal of Financial and Quantitative Analysis, 2006, Vol. 41, no. 4. pp. 889-913.Length: 24 pages |
Classification: | E43 - Determination of Interest Rates; Term Structure Interest Rates |
Source: |
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Arbitrage with Fixed Costs and Interest Rate Models
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On the geometry of interest rate models
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