A Gaussian Process of Yield Rates Calibrated with Strips

DOI10.1080/10920277.2001.10595995zbMath1083.62526OpenAlexW2122511313MaRDI QIDQ5718217

Jacques F. Carriere

Publication date: 13 January 2006

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2001.10595995

Mathematics Subject Classification ID

Gaussian processes (60G15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (1)

Martingale Valuation of Cash Flows for Insurance and Interest Models

Cites Work

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• A Theory of the Term Structure of Interest Rates
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
• An equilibrium characterization of the term structure
• Long-Term Yield Rates for Actuarial Valuations

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