Abstract
In this paper we shall illustrate how diffusion models can be used to extract the term structure of interest rates from observed prices and to determine theoric prices and risk measures of term-structure derivatives. We shall assume throughout that the risk of default can be ignored.
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© 2000 Springer-Verlag Berlin Heidelberg
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Moriconi, F. (2000). Analyzing Default-Free Bond Markets by Diffusion Models. In: Ottaviani, G. (eds) Financial Risk in Insurance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-57846-5_2
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DOI: https://doi.org/10.1007/978-3-642-57846-5_2
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