haku: @indexterm EQUILIBRIUM THEORY / yhteensä: 340
viite: 31 / 340
| Tekijä: | Jin, Y. Glasserman, P. |
| Otsikko: | Equilibrium positive interest rates: a unified view |
| Lehti: | Review of Financial Studies
2001 : SPRING, VOL. 14:1, p. 187-214 |
| Asiasana: | EQUILIBRIUM THEORY INTEREST RATES RISK |
| Kieli: | eng |
| Tiivistelmä: | This article develops precise connections among two general approaches to building interest rate models: a general equilibrium approach using a pricing kernel and the Heath, Jarrow, and Morton framework based on specifying forward rate volatilities and the market price of risk. The connections exploit the observation that a pricing kernel is uniquely determined by its drift. |
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