Modelling the term structure of interest rates with general short-rate models

DOI10.1007/s007800200088zbMath1063.91041OpenAlexW2012015890MaRDI QIDQ1776000

Hideyuki Takamizawa, Isao Shoji

Publication date: 20 May 2005

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800200088

zbMATH Keywords

linear approximationnonlinear term structure model

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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