DOMAIN RESTRICTIONS ON INTEREST RATES IMPLIED BY NO ARBITRAGE |
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| Authors: | C. Gourieroux A. Monfort |
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| Affiliation: | 1. CREST, CEPREMAP, and University of Toronto;2. CREST, Banque de France, and Maastricht University |
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| Abstract: | This paper derives domain restrictions on interest rates implied by no‐arbitrage. These restrictions are important for the study of arbitrage opportunities on bond markets, for regulation of these markets, and for econometric modelling. |
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| Keywords: | arbitrage free interest rates affine term structure Brennan– Schwartz model regulation |
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