Suppose P(tu; tv) is the price of a bond maturing at tv over the period (tu; tv) and paying
$1 at maturity.

Problem 7.1 The traditional Expectations Hypothesis (EH, henceforth) requires that the
expected return on a bond maturing at t2 over the period (t0; t1) must equal the certain
return on a bond maturing at t1. Express this relationship in an equation.
Problem 7.2 EH further requires that the return expected over (t0; t1) on a bond ma-
turing at t1 rolled over at maturity into a bond maturing at t2 must equal the guaranteed
return on a bond maturing at t2. Express this relationship in an equation.
Problem 7.3 According to Problem 7.1 and 7.2, prove that EH does NOT hold.

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