Exponential-Polynomial Families and the Term Structure of Interest Rates

Article, Other literature type English OPEN
Filipovic, Damir;
  • Publisher: Bernoulli Society for Mathematical Statistics and Probability
  • Journal: issn: 1350-7265
  • Publisher copyright policies & self-archiving
  • Subject: inverse problem | interest rate model | consistent Itôprocess | consistent Ito process, diffusion process, exponential-polynomial family, forward rate curve, interest rate model, inverse problem | forward rate curve | exponential-polynomial family | diffusion process

Exponential-polynomial families like the Nelson-Siegel or Svensson family are widely used to estimate the current forward rate curve. We investigate whether these methods go well with inter-temporal modelling. We characterize the consistent Ito processes which have the ... View more
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