A NOTE ON THE DAI-SINGLETON CANONICAL REPRESENTATION OF AFFINE TERM STRUCTURE MODELS*-Reference-Cited by-同舟云学术

A NOTE ON THE DAI-SINGLETON CANONICAL REPRESENTATION OF AFFINE TERM STRUCTURE MODELS*

Published:2010-06-07 Issue:3 Volume:20 Page:509-519
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:

Author:

Cheridito Patrick,Filipović Damir,Kimmel Robert L.

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9965.2010.00408.x/fullpdf

Reference22 articles.

1. A Simple Approach to Three Factor Affine Term Structure Models;Balduzzi;J. Fixed Income,1996

2. Correlation Risk and Optimal Portfolio Choice;Buraschi;J. Finance,2010

3. Stochastic Mean and Stochastic Volatility-A Three-Factor Model of the Term Structure of Interest Rates and its Applications to the Pricing of Interest Rate Derivatives;Chen;Financ. Markets, Inst. Instrum.,1996

4. Market Price of Risk Specifications for Affine Models: Theory and Evidence;Cheridito;J. Financ. Econ.,2007

5. Identification of Maximal Affine Term Structure Models;Collin-Dufresne;J. Finance,2008

Cited by 28 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Evolution of forward curves in the Heath–Jarrow–Morton framework by cubature method on Wiener space;Communications in Statistics: Case Studies, Data Analysis and Applications;2021-10-02

2. How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models?;Computational Management Science;2020-12-23

3. Smiling twice: The Heston++ model;Journal of Banking & Finance;2018-11

4. Affine multiple yield curve models;Mathematical Finance;2018-08-17

5. Can Unspanned Stochastic Volatility Models Explain the Cross Section of Bond Volatilities?;Management Science;2018-04