A YIELD‐FACTOR MODEL OF INTEREST RATES

DOI10.1111/j.1467-9965.1996.tb00123.xzbMath0915.90014OpenAlexW2068629725MaRDI QIDQ4226871

Publication date: 23 February 1999

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1996.tb00123.x

zbMATH Keywords

stochastic volatility term structure of interest rates jump diffusions parametric multivariate Markov diffusion process

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

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