A general characterization of one factor affine term structure models
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Publication:5950467
DOI10.1007/PL00013540zbMath0978.91033OpenAlexW2004300617MaRDI QIDQ5950467
Publication date: 12 December 2001
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/pl00013540
Feller processesaffine term structure modelsCBI-processesinfinitely decomposable processesMarkov short rate process
Applications of branching processes (60J85) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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