RDP 2008-09: A Term Structure Decomposition of the Australian Yield Curve
Equation
d
F
=
(
∂
F
∂
t
+
μ
x
∂
F
∂
x
+
1
2
σ
x
2
∂
2
F
∂
x
2
)
d
t
+
σ
x
∂
F
∂
x
d
W
t
.
MathType@MTEF@5@5@+=feaagCart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLnhiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=xfr=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@61EA@