Exponential-polynomial families and the term structure of interest rates

DOI10.2307/3318472zbMath0982.60085OpenAlexW2091008671MaRDI QIDQ5933571

Damir Filipović

Publication date: 26 July 2001

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3318472

zbMATH Keywords

inverse problemdiffusion processconsistent Itô processexponential-polynomial familyforward rate curveinterest rate model

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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