CONDITIONS FOR CONSISTENT EXPONENTIAL-POLYNOMIAL FORWARD RATE PROCESSES WITH MULTIPLE NONTRIVIAL FACTORS

DOI10.1142/S0219024904002608MaRDI QIDQ4653567zbMATH OpenFDO

Authors Emmanuel Sharef, Damir Filipović

Publication date 7 March 2005

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219024904002608

zbMATH Keywords

Svensson family

Mathematics Subject Classification ID

Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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• A note on the Nelson-Siegel family
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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• Exponential-polynomial families and the term structure of interest rates
• Interest rate dynamics and consistent forward rate curves
• Products of trees for investment analysis

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(3)

• A finite-dimensional HJM model: How important is arbitrage-free evolution?
• AFFINE PROCESSES, ARBITRAGE-FREE TERM STRUCTURES OF LEGENDRE POLYNOMIALS, AND OPTION PRICING
• Exponential-polynomial families and the term structure of interest rates

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