Book contents
- Frontmatter
- Dedication
- Contents
- Acknowledgements
- Symbols and Abbreviations
- Part I The Foundations
- Part II The Building Blocks: A First Look
- Part III The Conditions of No-Arbitrage
- 11 No-Arbitrage in Discrete Time
- 12 No-Arbitrage in Continuous Time
- 13 No-Arbitrage with State Price Deflators
- 14 No-Arbitrage Conditions for Real Bonds
- 15 Links with an Economics-Based Description of Rates
- Part IV Solving the Models
- Part V The Value of Convexity
- Part VI Excess Returns
- Part VII What the Models Tell Us
- References
- Index
12 - No-Arbitrage in Continuous Time
from Part III - The Conditions of No-Arbitrage
Published online by Cambridge University Press: 25 May 2018
Book contents
- Frontmatter
- Dedication
- Contents
- Acknowledgements
- Symbols and Abbreviations
- Part I The Foundations
- Part II The Building Blocks: A First Look
- Part III The Conditions of No-Arbitrage
- 11 No-Arbitrage in Discrete Time
- 12 No-Arbitrage in Continuous Time
- 13 No-Arbitrage with State Price Deflators
- 14 No-Arbitrage Conditions for Real Bonds
- 15 Links with an Economics-Based Description of Rates
- Part IV Solving the Models
- Part V The Value of Convexity
- Part VI Excess Returns
- Part VII What the Models Tell Us
- References
- Index
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- Bond Pricing and Yield Curve ModelingA Structural Approach, pp. 196 - 205Publisher: Cambridge University PressPrint publication year: 2018