A Note on the Nelson–Siegel Family

• 1 October 1999
• journal article
• Published by Wiley in Mathematical Finance
• Vol. 9  (4) , 349-359
• https://doi.org/10.1111/1467-9965.00073

Abstract

Keywords

• INTEREST RATE MODEL
• NELSON–SIEGEL FAMILY
• CONSISTENT STATE SPACE ITÔ PROCESS
• INVERSE PROBLEM.