References
- Ait-Sahalia , Y . 1999 . Transition densities for interest rate and other nonlinear diffusions . J. Finance , 50 : 1361 – 1395 .
- Chan , KC , Karolyi , GA , Longstaff , FA and Sanders , AB . 1992 . An empirical comparison of alternative models of the short-term interest rate . J. Finance , 47 : 1209 – 1227 .
- Cox , JC , Ingersoll , JE and Ross , SA . 1985 . A theory of the term structure of interest rate . Econometrica , 53 : 385 – 407 .
- Duffie , D and Singleton , KJ . 1993 . Simulated moments estimation of Markov models of asset prices . Econometrica , 61 : 929 – 952 .
- Florens-Zmirou , D . 1993 . On estimating the diffusion coefficient from discrete observations . J. Appl. Probab. , 30 : 790 – 804 .
- Gribik , PR . 1979 . “ A central cutting plane algorithm for SIP ” . In Semi-infinite Programming , Edited by: Hettich , R . 66 – 82 . New York : Springer-Verlag .
- Gustafson , SA and Kortanek , KO . 1973 . Numerical solution of a class of semi-infinite programming problems . Naval Res. Logistics Q. , 20 : 477 – 504 .
- Gustafson , SA and Kortanek , KO . 1983 . “ Semi-infinite programming and applications ” . In Mathematical Programming: State of the Art , Edited by: Bachem , A , Grotschel , M and Korte , B . 132 – 157 . New York : Springer-Verlag .
- Hettich , R and Kortanek , KO . 1993 . Semi-infinite programming: Theory, methods, and applications . SIAM Rev. , 35 : 380 – 429 .
- Kortanek , KO and Medvedev , VG . 2001 . Building and Using Dynamic Interest Rate Models , New Jersey : John Wiley and Sons .
- Nowman , K . 1997 . Gaussian estimation of single-factor continuous time models of the term structure of interest rates . J. Finance , 52 : 1695 – 1703 .
- Staffa , MS . 1999 . “ Un approccio dinamico per il moto dello Spot rate in base and osservazoni sulla curva dei Rendimenti: Il caso del mercato Italiano ” . In Ph.D. thesis , Italy : Universiat´ degli Studi di Roma – La Sapienza, Dipartimento di Scienze Attuariali e Finanziarie .
- Tichatschke , R , Kaplan , A , Voetmann , T and Böhm , M . 2002 . Numerical treatment of an asset price model with non-stochastic uncertainty . TOP Sociedad de Estadistíca e Investigación Operativa , 10 : 1 – 50 .
- Tichatschke , R and Nebeling , V . 1988 . A cutting plane algorithm for solving quadratic semi-infinite programs . Optim. , 19 : 803 – 817 .
- Vasicek , OA . 1977 . An equilibrium characterization of the term structure . J. Financial Econ. , 5 : 177 – 188 .