SOLVABLE AFFINE TERM STRUCTURE MODELS
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Publication:3502129
DOI10.1111/j.1467-9965.2007.00325.xzbMath1138.91547OpenAlexW2160819455MaRDI QIDQ3502129
Martino Grasselli, Claudio Tebaldi
Publication date: 22 May 2008
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2007.00325.x
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Cites Work
- Discrete time Wishart term structure models
- Affine processes and applications in finance
- Lie semigroups with triple decompositions
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Interest rate volatility and the shape of the term structure
- Superposition formulas for pseudounitary matrix Riccati equations
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