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Single Factor Heath-Jarrow-Morton Term Structure Models Based on Markov Spot Interest Rate Dynamics

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  • Jeffrey, Andrew
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    Bibliographic Info

    Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

    Volume (Year): 30 (1995)
    Issue (Month): 04 (December)
    Pages: 619-642

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    Handle: RePEc:cup:jfinqa:v:30:y:1995:i:04:p:619-642_00

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    Cited by:
    1. Antonio Mannolini & Carlo Mari & Roberto Ren�, 2008. "Pricing caps and floors with the extended CIR model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(4), pages 386-400.
    2. Björk, Tomas & Landén, Camilla & Svensson, Lars, 2002. "Finite dimensional Markovian realizations for stochastic volatility forward rate models," Working Paper Series in Economics and Finance 498, Stockholm School of Economics, revised 06 May 2002.
    3. Mireille Bossy & Rajna Gibson & Francois-Serge Lhabitant & Nathalie Pistre & Denis Talay, 2006. "Model misspecification analysis for bond options and Markovian hedging strategies," Review of Derivatives Research, Springer, vol. 9(2), pages 109-135, September.
    4. Björk, Tomas & Blix, Magnus & Landen, Camilla, 2005. "On finite dimensional realizations for the term structure of futures prices," Working Paper Series in Economics and Finance 620, Stockholm School of Economics.
    5. Mari, Carlo & Reno, Roberto, 2005. "Credit risk analysis of mortgage loans: An application to the Italian market," European Journal of Operational Research, Elsevier, vol. 163(1), pages 83-93, May.
    6. Dai, Qiang & Singleton, Kenneth J., 2003. "Fixed-income pricing," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 20, pages 1207-1246 Elsevier.
    7. Björk, Tomas & Landen, Camilla, 2000. "On the construction of finite dimensional realizations for nonlinear forward rate models," Working Paper Series in Economics and Finance 420, Stockholm School of Economics.
    8. Carlo Mari & Roberto Reno, 2006. "Arbitrary Initial Term Structure within the CIR Model: A Perturbative Solution," Applied Mathematical Finance, Taylor and Francis Journals, vol. 13(2), pages 143-153.

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