Browse OFOR Working Paper Series by Series/Report "OFOR Working Paper Series, no. 98-07"

  • Chapman, David A.; Pearson, Neil D. (Office for Futures and Options Research, Department of Agricultural Economics, College of Agricultural, Consumer, and Environmental Sciences at the University of Illinois at Urbana-Champaign, 1998-06-16)
    Virtually all existing continuous-time, single-factor term structure models are based on a short rate process that has a linear drift function. However, there is no strong a priori argument in favor of linearity, and Stanton ...


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