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Interest Rate Volatility and No-Arbitrage Affine Term Structure Models

Scott Joslin, Anh Le
Year2021
VenueManagement Science
Typearticle
Citations24
DOI10.1287/mnsc.2020.3858
OpenAlexW2187923620

Topics

Stochastic processes and financial applicationsArbitrageEconomicsEconometricsStochastic volatilityAffine transformation