Probability Properties of Interest Rate Models
Author:
Publisher
Springer International Publishing
Link
http://link.springer.com/content/pdf/10.1007/978-3-319-44615-8_20
Reference14 articles.
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3. Bali, T.: An empirical comparison of continuous time models of the short term interest rate. J. Futures Markets 19(7), 777–797 (1999)
4. Vasicek, O.A.: An equilibrium characterization of the term structure. J. Finan. Econ. 5, 177–188 (1977)
5. CIR: Cox, J.C., Ingersoll, J.E., Ross, S.A.: A theory of the term structure of interest rate. Econometrica 53, 385–467 (1985)
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