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Discrete-Time AffineℚTerm Structure Models with Generalized Market Prices of Risk

Anh Le, Kenneth J. Singleton, Qiang Dai
Year2010
VenueReview of Financial Studies
Typearticle
Citations145
DOI10.1093/rfs/hhq007
OpenAlexW3121197066

Topics

Stochastic processes and financial applicationsSingletonTerm (time)Affine transformationVolume (thermodynamics)Affine term structure model