It is considered the probability properties of the yield interest rates that are generated of Nelson – Siegel (NS) model and the Nelson – Siegel – Svensson (NSS) model. Description of yield models Nelson – Nelson and Siegel – Siegel – Svensson presented as a description of the...

We solve a moment problem to compute the best upper and lower bounds on the expected value E[φ(X)], subject to constraints E[X^i] = μ_i for i = 1, 2,...,n. By setting φ(x)=I_(-\inf,t], the indicator function for the event X ≤ t, we calculate the bounds on Pr(X ≤ t) = E[I_(-\inf,t]]. The...