A Gaussian approach for continuous time models of the short-term interest rate

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Guaranteed Annuity Options (2003, background): “See Nowman (1997) and Yu and Phillips (2001).”
Jackknifing Bond Option Prices (2005, unknown): “…are manifest in the estimation of continuous time systems, such as diffusion models for shortterm interest rates [Ball and Torous (1996), Chapman and Pearson (2000), Yu and Phillips (2001)] and they persist even when the sample size is quite large, as is often the case in financial applications.”
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance (2007, methodology): “Yu and Phillips (2001) developed an exact Gaussian method to estimate continuous time models with a linear drift function of the following form: dX(t) = κ(µ−X(t))dt + σ(X(t); θ)dB(t), (55) The approach is based on the idea that any continuous time martingale can be written as a Brownian motion…”