A class of Health-Jarrow-Morton models in which the unbiased expectations hypothesis holds

Frank Riedel

The unbiased expectations hypothesis states that forward rates are unbiased estimates for future short rates. Cox, Ingersoll and Ross [1] conjectured that this hypothesis should be inconsistent with the absence of arbitrage possibilities. Using the framework of Heath, Jarrow and Morton [4] we show that this is not always the case. The unbiased expectations hypothesis together with the existence of an equivalent martingale measure is equivalent to a certain condition on the volatilities of the forward rates. -- term structure of interest rates ; expectations hypotheses

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Year of publication:	1997
Authors:	Riedel, Frank
Institutions:	Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse (contributor)
Publisher:	Berlin : Humboldt-Universität
Subject:	Erwartungsbildung \| Expectation formation \| USA \| United States \| Schätzung \| Estimation \| Theorie \| Theory \| Zinsstruktur \| Yield curve