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• W1593955130 abstract "The aim of this paper is the determination of the term structure of interest rates from observations of the prices of fixed-income bonds. We first introduce factor models to describe the evolution of prices of zero-coupon bonds, and we derive the constraints induced by the arbitrage free condition. The second part of the paper is concerned with the statistical problems: identification, parameter estimation, test of the arbitrage free hypothesis, valuation of various financial assets." @default.
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• W1593955130 date "1995-01-01" @default.
• W1593955130 modified "2023-09-28" @default.
• W1593955130 title "Linear Factor Models and the Term Structure of Interest Rates" @default.
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