Showing 1 - 10 of 32
Persistent link: https://www.econbiz.de/10010500696
This paper develops an arbitrage-free pricing theory for a term structure of fi xed income securities that incorporates liquidity risk. In our model, there is a quantity impact on the term structure of zero-coupon bond prices from the trading of any single zero-coupon bond. We derive a set of...
Persistent link: https://www.econbiz.de/10013064496
Persistent link: https://www.econbiz.de/10003972378
Persistent link: https://www.econbiz.de/10010252360
Persistent link: https://www.econbiz.de/10010492496
Persistent link: https://www.econbiz.de/10015399494
Persistent link: https://www.econbiz.de/10003924493
Persistent link: https://www.econbiz.de/10000904137
Persistent link: https://www.econbiz.de/10000986787
Persistent link: https://www.econbiz.de/10001238390