The dynamic behaviour of the term structure of interest rates and its implication for interest-rate sensitive asset pricing
This thesis investigates the fundamental assumptions made in recent continuous-time equilibrium models of the term structure of interest rates. It finds that the number and the stochastic processes of state variables are strikingly different from those assumed in the literature. It develops a three-...
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| Format: | Others |
| Language: | en |
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McGill University
1993
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| Online Access: | http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=41168 |