Yield curve shapes and the asymptotic short rate distribution in affine one-factor models
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Publication:928499
DOI10.1007/s00780-007-0059-zzbMath1150.91020arXiv0704.0567OpenAlexW2118057922MaRDI QIDQ928499
Martin Keller-Ressel, Thomas Steiner
Publication date: 18 June 2008
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0704.0567
Continuous-time Markov processes on general state spaces (60J25) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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