Arbitrary Initial Term Structure within the CIR Model: A Perturbative Solution
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Publication:3424331
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Cites work
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- A theory of the term structure of interest rates
- An Intertemporal General Equilibrium Model of Asset Prices
- An equilibrium characterization of the term structure
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Credit risk analysis of mortgage loans: An application to the Italian market
- Estimating continuous-time stochastic volatility models of the short-term interest rate
- Estimation of affine asset pricing models using the empirical characteristic function
- Pricing interest-rate-derivative securities
- Single factor models with Markovian spot interest rate: An analytical treatment
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
Cited in
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- Interest rates forecasting: between hull and white and the CIR\# -- how to make a single-factor model work
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