We propose a new nonparametric estimator for the volatility structure of the zero-coupon yield curve inside the Heath-Jarrow-Morton framework. The estimator incorporates cross-sectional restrictions along the maturity dimension, and also allows for measurement errors, which can arise from...

Here the concepts of Duration and Convexity are studied when the term structure at a single point in time generally cannot be summarized by a finite number of state variables. Hence it is unclear whether calculating Duration and Convexity from partial derivatives makes sense. In this paper...

This paper considers the class of Heath-Jarrow-Morton term structure models where the spot interest rate is Markov and the term structure at time <italic>t</italic> is a function of time, maturity, and the spot interest rate at time <italic>t</italic>. A representation for this class of models is derived and I show that the...