Modeling the Term Structure of Interest Rates with General Diffusion Processes: A Moment Approximation Approach

Hideyuki Takamizawa, 秀幸 高見澤, Isao Shoji and 功 庄司

No 2006-05, Discussion Papers from Graduate School of Economics, Hitotsubashi University

Keywords: Short-rate; Term structure; Approximation; Conditional moment (search for similar items in EconPapers)
JEL-codes: C63 G12 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2007-10
Note: This version: October, 2007 (The previous version: October, 2006)
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https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/16977/070econDP06-05.pdf

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Journal Article: Modeling the term structure of interest rates with general diffusion processes: A moment approximation approach (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:hit:econdp:2006-05

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