MULTIFACTOR TERM STRUCTURE MODELS

被引：14
|
作者：
DUFFIE, D
IKAN, R
机构：
来源：
PHILOSOPHICAL TRANSACTIONS OF THE ROYAL SOCIETY A-MATHEMATICAL PHYSICAL AND ENGINEERING SCIENCES | 1994年 / 347卷 / 1684期
关键词：
D O I：
10.1098/rsta.1994.0067
中图分类号：
O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];
学科分类号：
07 ; 0710 ; 09 ;
摘要：
This is a survey of multi-factor structure models, concentrating on models in which the term structure has a finite-dimensional (Markov diffusion) state-space representation. The special 'affine' case is shown to be tractable.
引用
收藏
页码：577 / 586
页数：10
相关论文
共 50 条
  • [21] Tractable Term Structure Models
    Feunou, Bruno
    Fontaine, Jean-Sebastien
    Le, Anh
    Lundblad, Christian
    MANAGEMENT SCIENCE, 2022, 68 (11) : 8411 - 8429
  • [22] Inference of Term Structure Models
    Zhou, Yanli
    Ge, Xiangyu
    Wu, Yonghong
    Tian, Tianhai
    2016 INTERNATIONAL CONFERENCE ON IDENTIFICATION, INFORMATION AND KNOWLEDGE IN THE INTERNET OF THINGS (IIKI), 2016, : 553 - 558
  • [23] Dynamic models of the term structure
    Yan, H
    FINANCIAL ANALYSTS JOURNAL, 2001, 57 (04) : 60 - 76
  • [24] POLYNOMIAL TERM STRUCTURE MODELS
    Cheng, Si
    Tehranchi, Michael R.
    INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2021, 24 (02)
  • [25] ON THE STRUCTURE OF MULTIFACTOR OPTIMAL PORTFOLIO STRATEGIES
    Dokuchaev, Nikolai
    ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS, 2018, 24 (03) : 1043 - 1058
  • [26] Asset Pricing with a General Multifactor Structure
    Ando, Tomohiro
    Bai, Jushan
    JOURNAL OF FINANCIAL ECONOMETRICS, 2015, 13 (03) : 556 - 604
  • [27] MULTIFACTOR PIECEWISE MODELS - CZECH - KOTYKOV,VI
    KOLEK, P
    EKONOMICKO-MATEMATICKY OBZOR, 1987, 23 (02): : 229 - 231
  • [28] Advances in pricing commodity futures: Multifactor models
    Gomez-Valle, L.
    Martinez-Rodriguez, J.
    MATHEMATICAL AND COMPUTER MODELLING, 2013, 57 (7-8) : 1722 - 1731
  • [29] Multifactor implied volatility functions for HJM models
    Kuo, I-Doun
    Paxson, Dean A.
    JOURNAL OF FUTURES MARKETS, 2006, 26 (08) : 809 - 833
  • [30] Multifactor CES general equilibrium: Models and applications
    Kim, Jiyoung
    Nakano, Satoshi
    Nishimura, Kazuhiko
    ECONOMIC MODELLING, 2017, 63 : 115 - 127
12345