Modeling the term structure of interest rates with general diffusion processes: a moment approximation approach

DOI10.1016/J.JEDC.2008.05.001MaRDI QIDQ2271607zbMATH OpenOpenAlexFDO

Authors Hideyuki Takamizawa, Isao Shoji

Publication date 7 August 2009

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://tsukuba.repo.nii.ac.jp?action=repository_uri&item_id=17359

zbMATH Keywords

approximationconditional momentshort-rateterm structure

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic systems in control theory (general) (93E03)

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Cites work

• Estimating continuous-time stochastic volatility models of the short-term interest rate
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• Modelling the term structure of interest rates with general short-rate models
• On the accuracy of the local linear approximation for the term structure of interest rates
• Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(18)

• Application of statistical mechanics methodology to term-structure bond- pricing models
• Pricing CIR yield options by conditional moment matching
• Modelling the term structure of interest rates with general short-rate models
• A general Gaussian interest rate model consistent with the current term structure
• Efficient bond price approximations in non-linear equilibrium-based term structure models
• scientific article; zbMATH DE number 433054 (Why is no real title available?)
• scientific article; zbMATH DE number 5676625 (Why is no real title available?)
• scientific article; zbMATH DE number 1222800 (Why is no real title available?)
• A term structure model of interest rates with quadratic volatility
• On the accuracy of the local linear approximation for the term structure of interest rates
• scientific article; zbMATH DE number 1833956 (Why is no real title available?)
• scientific article; zbMATH DE number 6174816 (Why is no real title available?)
• Polynomial term structure models
• Phenomenology of the term structure of interest rates with Padé approximants
• Interest Rates Term Structure Models Driven by Hawkes Processes
• Exact perturbation approximations for the conditional moments of a multifactor CIR term structure model with a weak mean-reversion influence
• Polynomial approximation of discounted moments
• Determining the term structure of interest rates

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