@techreport{Riedel1997class,
abstract = {The unbiased expectations hypothesis states that forward rates are unbiased estimates for future short rates. Cox, Ingersoll and Ross [1] conjectured that this hypothesis should be inconsistent with the absence of arbitrage possibilities. Using the framework of Heath, Jarrow and Morton [4] we show that this is not always the case. The unbiased expectations hypothesis together with the existence of an equivalent martingale measure is equivalent to a certain condition on the volatilities of the forward rates.},
address = {Berlin},
author = {Frank Riedel},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {G12; E43; 330; term structure of interest rates; expectations hypotheses},
language = {eng},
note = {urn:nbn:de:kobv:11-10064059},
number = {1997,19},
publisher = {Humboldt-Universit\"{a}t},
title = {A class of Health-Jarrow-Morton models in which the unbiased expectations hypothesis holds},
type = {Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes},
url = {http://hdl.handle.net/10419/66288},
year = {1997}
}
