One-Factor Term Structure without Forward Rates

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dc.creatorGoodman, Victor
dc.creatorKim, Kyounghee
dc.date2006-12-01
dc.date2006-12-02
dc.date.accessioned2026-07-07T12:11:20Z
dc.date.available2026-07-07T12:11:20Z
dc.descriptionWe construct a no-arbitrage model of bond prices where the long bond is used as a numeraire. We develop bond prices and their dynamics without developing any model for the spot rate or forward rates. The model is arbitrage free and all nominal interest rates remain positive in the model. We give examples where our model does not have a spot rate; other examples include both spot and forward rates.
dc.identifierhttps://arxiv.org/abs/math/0612035
dc.identifierhttp://arxiv.org/abs/math/0612035
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210189
dc.subjectProbability
dc.subjectPricing of Securities
dc.subject91B28; 60H30; 60J65
dc.titleOne-Factor Term Structure without Forward Rates
dc.typetext

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