Conditional Gaussian models of the term structure of interest rates
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A new family of yield curve models is proposed in which increments in the log ``one-plus-interest-rates are assumed to be one-step conditionally Gaussian. A non-arbitrage condition is derived for such models. It is demonstrated that the discrete-time models of this type can be imbedded in continuous time models of the whole yield curve. The valuation of ``non-kernel claims is described. Derivatives valuation and conditional heteroscedasticity models are considered as examples.
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(21)- Direct estimation of the risk neutral factor dynamics of Gaussian term structure models
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- Price-admissibility conditions for arbitrage-free linear price function models for the term structure of interest rates
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- Stationary and nonstationary behaviour of the term structure: a nonparametric characterization
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- scientific article; zbMATH DE number 813756 (Why is no real title available?)
- PRINCIPAL-COMPONENT-BASED GAUSSIAN AFFINE TERM STRUCTURE MODELS: CONSTRAINTS AND THEIR FINANCIAL IMPLICATIONS
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- Estimation and inference in the yield curve model with an instantaneous error term
- A model of discontinuous interest rate behavior, yield curves, and volatility
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