Multi-factor term structure models

DOI10.1098/RSTA.1994.0067MaRDI QIDQ4698075zbMATH OpenOpenAlexFDO

Authors Rui Kan, Darrell Duffie

Publication date 14 May 1995

Published in Philosophical Transactions of the Royal Society of London. Series A: Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1098/rsta.1994.0067

zbMATH Keywords

finite-dimensional Markov diffusion state-space representationmulti-factor structure modelssurveyterm structure

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62) Stochastic systems in control theory (general) (93E03)

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