Term Structure, Market Expectations of the Short Rate, and Expected Inflation
J Luo, X Ye - New Methods in Fixed Income Modeling: Fixed Income …, 2018 - Springer
Based on the classic Gaussian dynamic term structure model A _ 0\left (3\right), we rotate
the model to a special representation, the so called “Companion Form Realization”, in which …
the model to a special representation, the so called “Companion Form Realization”, in which …