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Notation
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EFM and a class
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EFM and a class
The general
-factor Gaussian model
Subsections
Notation
Bond prices
Properties of the term structure
and
Slope of the short end
Instantaneous covariances
Unconditional finite-time yield dynamics
Conditional finite-time yield dynamics
The forward curve
Expected excess returns and risk premia
Bond portfolios
Local efficient frontier
Finite time portfolio evolution
Sensitivity of prices and yields to volatilities
Partial yield curve inversion using linearity in some parameters
Sensitivity of yields to constant risk premia
Markus Mayer 2009-06-22
-factor Gaussian model
and 