Impact of No-arbitrage on Interest Rate Dynamics

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Summary, etc.：: By imposing no-arbitrage condition (NAC), the volatility of changes in interest rates is linked to the cross-section of interest rates. Due to this li...

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Material Type: 規格・テクニカルリポート類
Title: Impact of No-arbitrage on Interest Rate Dynamics
Author/Editor: 高見澤, 秀幸
Author Heading: 高見澤, 秀幸
Publication, Distribution, etc.: Hitotsubashi University Center for Financial Research
Publication Date: 2015-05-17
Publication Date (W3CDTF): 2015-05-17
Text Language Code: eng
Subject Heading: Term structure
Interest rate
Volatility
Non-affine model
Approximation
Target Audience: 一般
Note (General): 出版タイプ： VoR
Format (IMT): application/pdf
Source: fulltext
https://hit-u.repo.nii.ac.jp/record/2053961/files/070hcfrWP_1_005.pdf
Access Restrictions: インターネット公開
Periodical Title: Working Paper Series ; No. G-1-5
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 一橋大学 : HERMES-IR（一橋大学機関リポジトリ）