Bilinear term structure model

DOI10.1111/J.1467-9965.2010.00424.XzbMATH Open1232.91680OpenAlexW2165373275MaRDI QIDQ3069955FDOQ3069955

Authors: Christian Gouriéroux, Alain Monfort 

Publication date: 2 February 2011

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00424.x

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zbMATH Keywords

stochastic discount factoraffine term structure modelbilinear term structure modelquadratic term structure model

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• A theory of the term structure of interest rates
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• A YIELD‐FACTOR MODEL OF INTEREST RATES
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• What does the yield curve tell us about GDP growth?
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• Empirical dynamic asset pricing: model specification and econometric assessment
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• Affine stochastic mortality
• Quadratic stochastic intensity and prospective mortality tables
• On polynomial approximation for strictly stationary processes
• FACTOR MODELS OF DOMESTIC AND FOREIGN INTEREST RATES WITH STOCHASTIC VOLATILITIES
• Direct estimation of the risk neutral factor dynamics of Gaussian term structure models
• A theory of the nominal term structure of interest rates.

Cited In (2)

• Pricing with finite dimensional dependence
• Title not available (Why is that?)

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