CONDITIONS FOR CONSISTENT EXPONENTIAL-POLYNOMIAL FORWARD RATE PROCESSES WITH MULTIPLE NONTRIVIAL FACTORS
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Publication:4653567
DOI10.1142/S0219024904002608zbMath1066.91049MaRDI QIDQ4653567
Damir Filipović, Emmanuel Sharef
Publication date: 7 March 2005
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
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Cites Work
- Products of trees for investment analysis
- Interest Rate Dynamics and Consistent Forward Rate Curves
- A Note on the Nelson-Siegel Family
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Consistency problems for Heath-Jarrow-Morton interest rate models
- Exponential-polynomial families and the term structure of interest rates
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