Publication Date: 2006
ISBN: 978-3-540-28344-7
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It introduces the AMGM models and gives the exact form for the yields and their moment structures. … the book is well-presented with sufficient references, and can serve as a reference for researchers in macroeconomics and financial mathematics.
Subject: Business and Economics, Asset Pricing, Bond Yields, Nonlinear Filters, Simulation, State Space Model, Term Structure of Interest Rates