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http://hdl.handle.net/10419/66288
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| Title: | | A class of Health-Jarrow-Morton models in which the unbiased expectations hypothesis holds  |
| Authors: | | Riedel, Frank |
| Issue Date: | | 1997 |
| Series/Report no.: | | Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1997,19 |
| 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. |
| Subjects: | | term structure of interest rates expectations hypotheses |
| JEL: | | G12 E43 |
| Persistent Identifier of the first edition: | | urn:nbn:de:kobv:11-10064059 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Discussion Papers, SFB 373, HU Berlin
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