Exponential-affine diffusion term structure models : dimension, time-homogeneity, and stochastic volatility

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Nunes, João Pedro Vidal;
  • Subject: HB | HG

The object of study in this thesis is the most general affine term structure model characterized by Duffie and Kan (1996), which nests, as special cases, many of the interest rate models previously formulated in the literature. The purpose of the dissertation is two-fol... View more
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