Term Structure Equations Under Benchmark Framework
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Other versions of this item:
- El Qalli, Yassine, 2009. "Term Structure Equations Under Benchmark Framework," MPRA Paper 15667, University Library of Munich, Germany.
References listed on IDEAS
- Eckhard Platen, 2006.
"A Benchmark Approach To Finance,"
Mathematical Finance, Wiley Blackwell, vol. 16(1), pages 131-151, January.
- Eckhard Platen, 2004. "A Benchmark Approach to Finance," Research Paper Series 138, Quantitative Finance Research Centre, University of Technology, Sydney.
- Eckhard Platen, 2005.
"An Alternative Interest Rate Term Structure Model,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(06), pages 717-735.
- Eckhard Platen, 2003. "An Alternative Interest Rate Term Structure Model," Research Paper Series 97, Quantitative Finance Research Centre, University of Technology, Sydney.
- Eckhard Platen, 2001. "Arbitrage in Continuous Complete Markets," Research Paper Series 72, Quantitative Finance Research Centre, University of Technology, Sydney.
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More about this item
Keywords
Term structure; Benchmark approach; GOP; Forward price; bond.;All these keywords.
JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MAC-2009-08-30 (Macroeconomics)
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