Open AccessJump-Diffusion Term Structure and Ito Conditional Moment Generator
Author(s) -
Hao Zhou
Publication year - 2001
Publication title -
finance and economics discussion series
Language(s) - English
Resource type - Journals
eISSN - 2767-3898
pISSN - 1936-2854
DOI - 10.17016/feds.2001.28
Subject(s) - jump diffusion , jump , mathematics , yield curve , short rate , estimator , affine term structure model , forward rate , jump process , moment (physics) , conditional expectation , econometrics , interest rate , economics , statistics , finance , physics , classical mechanics , quantum mechanics