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Abstract: A Theory of the Term Structure of Interest Rates and the Valuation of Interest-Dependent Claims

Published online by Cambridge University Press:  19 October 2009

Extract

The main focus of this study concerns the pricing of default-free bonds in a risky economy inhabited by risk-averse consumers. The methodology of the paper draws upon recent work in the fields of intertemporal asset pricing and valuation by arbitrage principles. We develop a general equilibrium model for the expected rates of return on “created financial assets” (such as bonds) dependent upon the risk attitudes of investors and the uncertain real investment opportunities available.

Type
Abstracts of Conference Papers: Options
Copyright
Copyright © School of Business Administration, University of Washington 1977

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