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Original Articles

On the interface of probabilistic and PDE methods in a multifactor term structure theory

Pages 661-668 | Received 01 Aug 2003, Published online: 20 Feb 2007

References

References

  • Vasicek , O . 1977 . J. Financial Econ , 5 : 177 – 188 .
  • Cox , J , Ingersoll , J and ROSS , S . 1985 . Econometrica , 53 : 385 – 408 .
  • Brown R Schaeffer S 1995 Interest rate volatility and the shape of the term structure Mathematical Models in Finance edited by S. D. Howison, F. P. Kelly and P. Wilmott London Chapman and Hall 113 126
  • Duffie D Kan R 1995 Multi-factor term structure models Mathematical Models in Finance edited by S. D. Howison, F. P. Kelly and P. Wilmott London Chapman and Hall 127 136
  • Duffie , D and Kan , R . 1996 . Math. Finance , 6 : 379 – 406 .
  • Neftci S 2000 Introduction to the Mathematics of Derivatives 2nd edn New York Academic Press
  • Oksendal B 1999 Stochastic Differential Equations 5th edn Berlin-New York Springer-Verlag

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