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

DOI10.1016/J.JEDC.2008.05.001zbMath1167.93339OpenAlexW2053946881MaRDI QIDQ2271607

Hideyuki Takamizawa, Isao Shoji

Publication date: 7 August 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://tsukuba.repo.nii.ac.jp?action=repository_uri&item_id=17359

zbMATH Keywords

approximationterm structureconditional momentshort-rate

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic systems in control theory (general) (93E03)

Related Items (1)

A term structure model of interest rates with quadratic volatility

Cites Work

• Estimating continuous-time stochastic volatility models of the short-term interest rate
• Modelling the term structure of interest rates with general short-rate models
• Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• On the accuracy of the local linear approximation for the term structure of interest rates
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