A note on the Nelson-Siegel family (Q2757308)
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scientific article; zbMATH DE number 1676822
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A note on the Nelson-Siegel family |
scientific article; zbMATH DE number 1676822 |
Statements
26 November 2001
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martingale
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interest rate model
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arbitrage
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stochstic volatility
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A note on the Nelson-Siegel family (English)
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\textit{T. Björk} and \textit{B. J. Christensen} [Math. Finance 9, 323-348 (1999; Zbl 0980.91030)] showed that within the Heath-Jarrow-Morton framework with deterministic volatility structure there exists no nontrivial forward rate model that is consistent with the Nelson-Siegel family (an exponential-polynomial family). A generalized version of this result including stochastic volatility structure is given in the paper.
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