Babbs, Simon H.; Nowman, K. Ben - In: Journal of Financial and Quantitative Analysis 34 (1999) 01, pp. 115-130
We present a subclass of Langetieg's (1980).linear Gaussian models of the term structure. The bond price is derived in terms of a finite set of state variables with correlated innovations. The subclass contains a reformulation of the double-decay model of Beaglehole and Tenney (1991), enabling...