Multi-factor term structure models-Reference-Cited by-同舟云学术

Multi-factor term structure models

Published:1994-06-15 Issue:1684 Volume:347 Page:577-586
ISSN:0962-8428
Container-title:Philosophical Transactions of the Royal Society of London. Series A: Physical and Engineering Sciences
language:en
Short-container-title:Phil. Trans. R. Soc. Lond. A

Author:

Abstract

This is a survey of multi-factor structure models, concentrating on models in which the term structure has a finite-dimensional (Markov diffusion) state-space representation. The special ‘affine’ case is shown to be tractable.

Publisher

The Royal Society

Subject

Pharmacology (medical),Complementary and alternative medicine,Pharmaceutical Science

Link

https://royalsocietypublishing.org/doi/pdf/10.1098/rsta.1994.0067

Reference54 articles.

1. Ames W. 1977 Numerical methodsfor partial differential equations 2nd edn. New York: Academic Press.

2. Ansel J.-P. & Strieker C. 1991 Lois de Martingale densites et decompositions de follmer schweizer. Universite de Franche-Comte. (Working paper.)

3. General Solutions of Some Interest Rate-Contingent Claim Pricing Equations

4. A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options

5. Bonds and option pricing when short rates are log-normal;Black F.;Financial Analysts J .,1992

Cited by 35 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. Funding shortages, expectations, and forward rate risk premium;Quantitative Finance;2022-04-24

2. Gaussian estimation and forecasting of the U.K. yield curve with multi-factor continuous-time models;International Review of Financial Analysis;2017-07

3. Optimal Mortgage Prepayment Under the Cox--Ingersoll--Ross Model;SIAM Journal on Financial Mathematics;2016-01

4. A Vasicek-Type Short Rate Model With Memory Effect;Stochastic Analysis and Applications;2015-10-23

5. Gaussian Estimation and Forecasting of the UK Yield Curve with Multi-Factor Continuous Time Models;SSRN Electronic Journal;2015