2. These formulations are summarized by John Cox, Jonathan Ingersoll, Jr., and Stephen Ross, “A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates,” Journal of Finance (September 1981), pp. 769–799.

3. F Lutz, “The Structure of Interest Rates,” Quarterly Journal of Economics (1940–41), pp. 36–63.

4. Cox, Ingersoll, and Ross, op. cit., pp. 774–775.

5. Cox, Ingersoll, and Ross, op. cit., p. 788.

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