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Abstract: A Theory of the Term Structure of Interest Rates and the Valuation of Interest-Dependent Claims

Author

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  • Cox, John C.
  • Ingersoll, Jonathan E.
  • Ross, Stephen A.

Abstract

The main focus of this study concerns the pricing of default-free bonds in a risky economy inhabited by risk-averse consumers. The methodology of the paper draws upon recent work in the fields of intertemporal asset pricing and valuation by arbitrage principles. We develop a general equilibrium model for the expected rates of return on “created financial assets” (such as bonds) dependent upon the risk attitudes of investors and the uncertain real investment opportunities available.

Suggested Citation

  • Cox, John C. & Ingersoll, Jonathan E. & Ross, Stephen A., 1977. "Abstract: A Theory of the Term Structure of Interest Rates and the Valuation of Interest-Dependent Claims," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(4), pages 661-661, November.
    • Handle: RePEc:cup:jfinqa:v:12:y:1977:i:04:p:661-661_02
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    Cited by:

    1. Jasmina Hasanhodzic & Laurence J. Kotlikoff, 2017. "Valuing Government Obligations When Markets are Incomplete," NBER Working Papers 24092, National Bureau of Economic Research, Inc.
    2. Alexander W. Blocker & Laurence J. Kotlikoff & Stephen A. Ross & Sergio Villar Vallenas, 2019. "The True Cost of Social Security," Tax Policy and the Economy, University of Chicago Press, vol. 33(1), pages 131-163.
    3. Karel Brůna & Jiří Korbel, 2013. "Interpretace variability úrokových sazeb v rámci zprostředkovatelského modelu optimální úrokové marže [An Interpretation of Interest Rates Variability in Dealer´s Model of Optimal Interest Margin]," Politická ekonomie, Prague University of Economics and Business, vol. 2013(3), pages 299-320.
    4. Jasmina Hasanhodzic & Laurence J. Kotlikoff, 2019. "Valuing Government Obligations When Markets Are Incomplete," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(7), pages 1815-1855, October.

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