The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks
Author:
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance,Accounting
Link
http://academic.oup.com/rfs/article-pdf/14/1/149/5425801/140149.pdf
Reference24 articles.
1. The Market Model of Interest Rate Dynamics;Brace;Mathematical Finance,1994
2. A Multifactor Gauss-Markov Implementation of Heath, Jarrow and Morton;Brace;Mathematical Finance,1994
3. Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates
4. A Theory of the Term Structure of Interest Rates
5. Duffie D. , 1996, Dynamic Asset Pricing Theory, 2nd ed., Princeton University Press, Princeton, N.J.
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