Exact perturbation approximations for the conditional moments of a multifactor CIR term structure model with a weak mean-reversion influence-Reference-Cited by-同舟云学术

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Exact perturbation approximations for the conditional moments of a multifactor CIR term structure model with a weak mean-reversion influence

Published:2024-09 Issue: Volume:447 Page:115899
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Wu Cheng-Hsun

Funder

National Science and Technology Council

Ministry of Science and Technology, Taiwan

Publisher

Elsevier BV

Reference36 articles.

1. A theory of the term structure of interest rates;Cox;Econometrica,1985

2. Specification analysis of affine term structure models;Dai;J. Finance,2000

3. Affine processes and applications in finance;Duffie;Ann. Appl. Probab.,2003

4. Affine diffusion processes: theory and applications;Filipovic,2009

5. A classification of two factor affine diffusion term structure models;Gourieroux;J. Financ. Econom.,2006

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