The Term Structure of Interest Rate-Futures Prices

We derive general properties of two-factor models of the term structure of interest rates and, in particular, the process for futures prices and rates. Then, as a special case, we derive a no-arbitrage model of the term structure in which any two futures rates act as factors. The term structure shifts and tilts as the factor rates vary. The cross-sectional properties of the model

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Year of publication:	1999-09-29
Authors:	Stapleton, R.C. ; Subrahmanyam, Marti G.
Institutions:	Finance Department, Stern School of Business

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Extent:	application/pdf
Series:	New York University, Leonard N. Stern School Finance Department Working Paper Seires.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005663495