Domain Restrictions on the Rates Implied by No-arbitrage

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

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-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 languageEnglish
Pages (from-to)281-291
Number of pages10
JournalMathematical Finance
Volume21
Issue number2
DOIs
Publication statusPublished - 1 Jan 2011

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