A note on the Nelson - Siegel family

Mathematical Finance

Volumn 9, Issue 4, 1999, Pages 349-359

  Filipović, Damir ^a  

^a ETH ZURICH   (Switzerland)

Author keywords

Consistent state space It process; Interest rate model; Inverse problem; Nelson Siegel family

Indexed keywords

EID: 0033211750     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00073     Document Type: Article

References (8)

1. BIS (1999): "Zero-Coupon Yield Curves: Technical Documentation." Bank for International Settlements, Basle, March 1999.
2. BJÖRK, T., and B. J. CHRISTENSEN (1999): Interest Rate Dynamics and Consistent Forward Rate Curves, Math. Finance, this issue, 323-348.
3. DELBAEN, F., and W. SCHACHERMAYER (1994): A General Version of the Fundamental Theorem of Asset Pricing, Math. Annalen 300, 463-520.
4. FILIPOVIĆ, D. (1998): Exponential-Polynomial Families and the Term Structure of Interest Rates, unpublished manuscript.
5. HEATH, D., R. JARROW, and A. MORTON (1992): Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation, Econometrica 60, 77-105.
6. JACOD, J., and A. N. SHIRYAEV (1987): Limit Theorems for Stochastic Processes. Berlin: Springer.
7. NELSON, C., and A. SIEGEL (1987): Parsimonious Modeling of Yield Curves, J. of Business 60, 473-489.
8. REVUZ, D., and M. YOR (1994): Continuous Martingales and Brownian Motion, 2nd ed. Berlin: Springer.