SFB 303 Discussion Paper No. B-260

Author: Musiela, Marek, and Dieter Sondermann
Title: Different Dynamical Specifications of the Term Structure of Interest Rates and their Implications
Abstract: Alternative ways of introducing uncertainty to the term structure of interest rates are considered. They correspond to the different expectation hypotheses. The dynamics of the term structure is analysed in a convenient framework of stochastic equations in infinite dimensions.
Keywords: term structure of interest rates, expectation hypothesis, stochastic equations in infinite dimensions.
JEL-Classification-Number: 026, 521
Creation-Date: November 1993
URL: ../1993/b/bonnsfb260.pdf

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