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dc.contributor.authorRiedel, Franken_US
dc.date.accessioned2012-10-25en_US
dc.date.accessioned2012-11-19T15:23:30Z-
dc.date.available2012-11-19T15:23:30Z-
dc.date.issued1997en_US
dc.identifier.piurn:nbn:de:kobv:11-10064059en_US
dc.identifier.urihttp://hdl.handle.net/10419/66288-
dc.description.abstractThe 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.en_US
dc.language.isoengen_US
dc.publisherHumboldt-Universität Berlinen_US
dc.relation.ispartofseriesDiscussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1997,19en_US
dc.subject.jelG12en_US
dc.subject.jelE43en_US
dc.subject.ddc330en_US
dc.subject.keywordterm structure of interest ratesen_US
dc.subject.keywordexpectations hypothesesen_US
dc.titleA class of Health-Jarrow-Morton models in which the unbiased expectations hypothesis holdsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn728567407en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:sfb373:199719-
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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