Continuous-time models have a large range of applications. They have been used for a long time to model phenomena evolving randomly and continuously in time. However, data are essentially always recorded at discrete points in time only and this is one of the main source of difficulties when the...

This paper presents a general, nonlinear model for term structure interest rate. The approach is the same of Stanton (1997) but it has been extended to a multifactor model. The novel aspect is that rather than choosing the functional specification of the model, the process is generated from the...

A Monte Carlo simulation is performed to investigate the finite sample properties of a nonparametric estimator, based on discretely sampled observations of continuous-time Ito diffusion process. Chapman and Pearson (2000) studies finite-sample properties of the nonparametric estimator of...