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1997-02-07Buch DOI: 10.18452/3803
A class of Health-Jarrow-Morton models in which the unbiased expectations hypothesis holds
dc.contributor.authorRiedel, Frank
dc.date.accessioned2017-06-15T22:10:19Z
dc.date.available2017-06-15T22:10:19Z
dc.date.created2006-06-01
dc.date.issued1997-02-07
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4455
dc.description.abstractThe 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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectterm structure of interest rateseng
dc.subjectexpectations hypotheseseng
dc.subject.ddc330 Wirtschaft
dc.titleA class of Health-Jarrow-Morton models in which the unbiased expectations hypothesis holds
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10064059
dc.identifier.doihttp://dx.doi.org/10.18452/3803
dc.subject.dnb17 Wirtschaft
local.edoc.pages8
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year1997
dc.identifier.zdb2135319-0
bua.series.nameSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
bua.series.issuenumber1997,19

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