Ubukata, M.; Fukushige, M. - In: Mathematics and Computers in Simulation (MATCOM) 79 (2009) 9, pp. 2938-2946
Many variations exist of yield curve modeling based on the exponential components framework, but most do not consider the generating process of the error term. In this paper, we propose a method of yield curve estimation using an instantaneous error term generated with a standard Brownian...