Bouchaud, Jean-Philippe; Sagna, Nicolas; Cont, Rama; … - In: Applied Mathematical Finance 6 (1999) 3, pp. 209-232
1990-1996. It is found that the average deviation of the FRC from the spot rate grows as the square-root of the maturity …, with a prefactor which is comparable to the spot rate volatility. This suggests that forward rate market prices include a … risk premium, comparable to the probable changes of the spot rate between now and maturity, which can be understood as a …