Kennedy, J.E.; Hunt, P.J. - In: Finance and Stochastics 2 (1998) 3, pp. 275-293
We show how market prices for standard interest rate products can be used, under the assumption of a one-factor model, to imply the joint distribution of zero coupon bonds of differing maturities at a fixed date $T$ in the future. We relate these results to the solution of an optimisation...
