Consistency conditions for affine term structure models.
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Publication:2574626
DOI10.1016/j.spa.2003.10.002zbMath1075.91020arXivcond-mat/0404107OpenAlexW1988196350MaRDI QIDQ2574626
Publication date: 29 November 2005
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/cond-mat/0404107
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Cites Work
- Affine processes and applications in finance
- A Theory of the Term Structure of Interest Rates
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- An equilibrium characterization of the term structure
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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