EconStor >
Humboldt-Universität zu Berlin >
Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes, Humboldt-Universität Berlin >
Discussion Papers, SFB 373, HU Berlin >

Please use this identifier to cite or link to this item:
Title:A class of Health-Jarrow-Morton models in which the unbiased expectations hypothesis holds PDF Logo
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
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

Files in This Item:
File Description SizeFormat
728567407.pdf169.68 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.