No Arbitrage Condition and the Term Structure, its Estimation and Smoothing

Eliezer Prisman

Chapter 3 in Lecture Notes in Investment:Investment Fundamentals, 2020, pp 29-65 from World Scientific Publishing Co. Pte. Ltd.

Abstract: In Chapter 2, we investigated the meaning of the discount factors, their relation to the no-arbitrage (NA) condition and valuing future cash flows utilizing the present value concept. Some financial instruments, that also fall into the class of derivative securities, are valued based on risk-free discount factors. The valuation concept of these instruments is induced by the NA condition. These securities are valued either by replication or by applying to their cash flow the discount factors…

Keywords: Equality Markets; Bond Markets; Investment Fundamentals (search for similar items in EconPapers)
JEL-codes: G10 G11 (search for similar items in EconPapers)
Date: 2020
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789811219566_0003 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789811219566_0003 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789811219566_0003

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().