Marzo, Massimiliano; Sodestrom, Ulf; Zagaglia, Paolo - Society for Computational Economics - SCE - 2006
term structure is inserted by including four types of government bonds with four different maturities: very short term … (money market assets), short term (3-months bonds), medium (5-years bonds) and long term (10-years) bonds. In order not to … bonds. We solve the model up to first and second order. We evaluate the quantitative properties of the model and we study …