Mercurio, F.

model volatility interest rates interest humped structure function price option process spot rate volatility humped volatility structures moraleda framework term structure maturity volatility structure discount sankarasubramanian class discount bonds ritchken curve vorst example humped shapes value procedure probability volatilitie process x choice time t erasmus university rotterdam paper dynamic european morton security curve dynamics table formula shape hw framework algorithm tractability discount bond prices section european options interest rate volatility gaussian rs class proposition lattice feature distribution equivalent interest rate hw-ln option prices spot rate rs framework state variables pricing coecient property rs-pr journal notice state speci pelsser variable parameter ^ ^ heath bond prices cation volatility function probability distribution