Ritchken, Peter; Sankarasubramanian, L - In: Review of Quantitative Finance and Accounting 7 (1996) 3, pp. 279-88
A common approach to modeling the term structure of interest rates in a single-factor economy is to assume that the evolution of all bond prices can be described by the current level of the spot interest rate. This article investigates the restrictions that this assumption imposes. Specifically,...