A yield-factor model of interest rates.
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Cited in
(8)- Spectral methods for identifying scalar diffusions
- Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility
- FACTOR MODELS OF DOMESTIC AND FOREIGN INTEREST RATES WITH STOCHASTIC VOLATILITIES
- Exact solutions for bond and option prices with systematic jump risk
- SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- Bond, futures and option evaluation in the quadratic interest rate model
- A simple class of square-root interest-rate models
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