To make high-quality research more accessible and easier to explore.

Fields:
3 results

On the term structure of interest rates

L. Uri Dothan
Journal of Financial Economics 1978 6(1), 59-69
The paper presents a valuation formula for default free bonds for a certain class of tastes when the instantaneously riskfree rate of interest follows a geometric Wiener process. Properties of the resulting term structure of interest rates are studied, and an application of the analysis to the pricing of Treasury Bills is proposed.

Term-Risk Structures and the Valuation of Projects

Uri Dothan; Joseph Williams
Journal of Financial and Quantitative Analysis 1980 15(4), 875
Uri Dothan, Joseph Williams, Term-Risk Structures and the Valuation of Projects, The Journal of Financial and Quantitative Analysis, Vol. 15, No. 4, Proceedings of 15th Annual Conference of the Western Finance Association, June 19-21, 1980, San Diego, California (Nov., 1980), pp. 875-905