Mean Reversion Level Extensions of Time-Homogeneous Affine Term Structure Models
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References listed on IDEAS
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- Oh Kwon, 2009. "On the equivalence of a class of affine term structure models," Annals of Finance, Springer, vol. 5(2), pages 263-279, March.
More about this item
KeywordsAffine term structure model; mean reversion level; initial forward rate curve; time-inhomogeous extension;
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