Domain Restrictions on the Rates Implied by No-arbitrage

A.M.E. Monfort; C. Gourieroux

doi:10.1111/j.1467-9965.2010.00429.x

Domain Restrictions on the Rates Implied by No-arbitrage

A.M.E. Monfort^*, C. Gourieroux

^*Corresponding author for this work

Quantitative Economics

Research output: Contribution to journal › Article › Academic › peer-review

Abstract

This paper derives domain restrictions on interest rates implied by no-arbitrage. These restrictions are important for the study of arbitrage opportunities on bond markets, for regulation of these markets, and for econometric modelling.

Original language	English
Pages (from-to)	281-291
Number of pages	10
Journal	Mathematical Finance
Volume	21
Issue number	2
DOIs	https://doi.org/10.1111/j.1467-9965.2010.00429.x
Publication status	Published - 1 Jan 2011

Access to Document

10.1111/j.1467-9965.2010.00429.x

Cite this

@article{8c11e9b027c04dee830d16dd8e3baf8c,

title = "Domain Restrictions on the Rates Implied by No-arbitrage",

abstract = "This paper derives domain restrictions on interest rates implied by no-arbitrage. These restrictions are important for the study of arbitrage opportunities on bond markets, for regulation of these markets, and for econometric modelling.",

author = "A.M.E. Monfort and C. Gourieroux",

year = "2011",

month = jan,

day = "1",

doi = "10.1111/j.1467-9965.2010.00429.x",

language = "English",

volume = "21",

pages = "281--291",

journal = "Mathematical Finance",

issn = "0960-1627",

publisher = "Wiley-Blackwell",

number = "2",

}

TY - JOUR

T1 - Domain Restrictions on the Rates Implied by No-arbitrage

AU - Monfort, A.M.E.

AU - Gourieroux, C.

PY - 2011/1/1

Y1 - 2011/1/1

N2 - This paper derives domain restrictions on interest rates implied by no-arbitrage. These restrictions are important for the study of arbitrage opportunities on bond markets, for regulation of these markets, and for econometric modelling.

AB - This paper derives domain restrictions on interest rates implied by no-arbitrage. These restrictions are important for the study of arbitrage opportunities on bond markets, for regulation of these markets, and for econometric modelling.

U2 - 10.1111/j.1467-9965.2010.00429.x

DO - 10.1111/j.1467-9965.2010.00429.x

M3 - Article

SN - 0960-1627

VL - 21

SP - 281

EP - 291

JO - Mathematical Finance

JF - Mathematical Finance

IS - 2

ER -