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

DOI10.1080/14697680400000019MaRDI QIDQ4610220zbMATH OpenOpenAlexFDO

Authors 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 rateslocal linear approximationterm structure

Mathematics Subject Classification ID

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

Recommendations

• Modeling the term structure of interest rates with general diffusion processes: a moment approximation approach
• HEATH–JARROW–MORTON INTEREST RATE DYNAMICS AND APPROXIMATELY CONSISTENT FORWARD RATE CURVES
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Modelling the term structure of interest rates with general short-rate models
• Flexible term structure estimation: Which method is preferred?

Cites work

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

Cited in

(5)

• Modeling the term structure of interest rates with general diffusion processes: a moment approximation approach
• Efficient bond price approximations in non-linear equilibrium-based term structure models
• Phenomenology of the term structure of interest rates with Padé approximants
• Exact perturbation approximations for the conditional moments of a multifactor CIR term structure model with a weak mean-reversion influence
• Approximate solution for the quadratic profitability model

This page was built for publication: On the accuracy of the local linear approximation for the term structure of interest rates

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4610220)