Brigo, Damiano; Mercurio, Fabio - In: Finance and Stochastics 5 (2001) 3, pp. 369-387
In the present paper we show how to extend any time-homogeneous short-rate model to a model that can reproduce any observed yield curve, through a procedure that preserves the possible analytical tractability of the original model. In the case of the Vasicek (1977) model, our extension is...