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Suppose 2-year Treasury bonds yield 5.8%, while 1-year bonds yield 2.5%. r* is 1.75%, and the maturity risk premium is zero.
Suppose 2-year Treasury bonds yield 5.8%, while 1-year bonds yield 2.5%. r* is 1.75%, and the maturity risk premium is zero.
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Introduces Quantitative Finance
Authors: Paul Wilmott
2nd edition
470319585, 470319581, 978-0470319581
