A note on bond immunization and arbitrage in the deterministic setting (con nota introduttiva)

Enrico Moretto

No 2001-ME02, Economics Department Working Papers from Department of Economics, Parma University (Italy)

Abstract: This paper establishes what kind of additive shocks affecting a deterministic trend structure do not lead to arbitrage.

Pages: 19 pages
Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:par:dipeco:2001-me02

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