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Arbitrage bounds for the term structure of interest rates

✍ Scribed by Stefan R. Jaschke

Publisher: Springer-Verlag
Year: 1997
Tongue: English
Weight: 150 KB
Volume: 2
Category: Article
ISSN: 0949-2984
DOI: 10.1007/s007800050031

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## Abstract We consider a new approach for estimating the coefficients of the term structure equation in two‐factor models. This approach is based on the fact that the risk‐neutral drifts of the factors are directly estimated. Therefore, the market prices of risk and the physical drifts do not have