Characterizing Gaussian Models of the Term Structure of Interest Rates

• 1 April 1997
• journal article
• Published by Wiley in Mathematical Finance
• Vol. 7  (2) , 107-118
• https://doi.org/10.1111/1467-9965.00026

Abstract

Keywords

• TERM STRUCTURE
• BOND PRICES
• MARTINGALE MEASURE
• GAUSSIAN RANDOM FIELD