scientific article; zbMATH DE number 912570

MaRDI QIDQ4887229zbMATH OpenFDO

Authors Rui Kan, Darrell Duffie

Publication date 1 August 1996

zbMATH Keywords

Markov diffusionmulti-factor structure modelssurvey

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Economic growth models (91B62)

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• SEPARABLE TERM STRUCTURES AND THE MAXIMAL DEGREE PROBLEM
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• On the factor structure of bond returns
• Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs
• Duration, factor sensitivities, and interest rate Greeks
• On the equivalence of a class of affine term structure models
• Problems in certain two-factor term structure models

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