Bilinear term structure model

DOI10.1111/J.1467-9965.2010.00424.XMaRDI QIDQ3069955zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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• FACTOR MODELS OF DOMESTIC AND FOREIGN INTEREST RATES WITH STOCHASTIC VOLATILITIES
• On polynomial approximation for strictly stationary processes
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Cited in

(2)

• Pricing with finite dimensional dependence
• scientific article; zbMATH DE number 912570 (Why is no real title available?)

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