On the accuracy of the local linear approximation for the term structure of interest rates

DOI10.1080/14697680400000019zbMath1405.91663OpenAlexW4251867846MaRDI QIDQ4610220

Hideyuki Takamizawa, Isao Shoji

Publication date: 15 January 2019

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

Full work available at URL: https://doi.org/10.1080/14697680400000019

zbMATH Keywords

interest ratesterm structurelocal linear approximation

Mathematics Subject Classification ID

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

Related Items (1)

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

Cites Work

• Modelling the term structure of interest rates with general short-rate models
• A Theory of the Term Structure of Interest Rates
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• An equilibrium characterization of the term structure

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