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| Author: | Mele, A. |
| Title: | Fundamental properties of bond prices in models of the short-term rate |
| Journal: | Review of Financial Studies
2003 : FALL, VOL. 16:3, p. 679-716 |
| Index terms: | Financial models Bonds Volatility |
| Language: | eng |
| Abstract: | The central focus of this article is the relationship between bond prices and the short-term rate volatility. Typical relationships between bond prices and volatility are generated by joint restrictions on the risk-neutralized drift functions of the state variables and convexity of bond prices with respect to the short-term rate. |
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