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

• 1 July 2003
• journal article
• Published by Springer Nature in Finance and Stochastics
• Vol. 7  (3) , 323-335
• https://doi.org/10.1007/s007800200088

Abstract

Keywords

• NONLINEAR TERM STRUCTURE MODEL
• LINEAR APPROXIMATION
• AFFINE TERM STRUCTURE MODEL
• INTEREST RATE
• TERM STRUCTURE