A Note on the Dai-Singleton Canonical Representation of Affine Term Structure Models

Damir Filipovic, Patrick Cheridito, Ron Kimmel

Publikation: Wissenschaftliche Fachzeitschrift › Originalbeitrag in Fachzeitschrift › Forschung › Begutachtung

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@article{492148235d0e4a2d8c7219d2ab6a0afc,

title = "A Note on the Dai-Singleton Canonical Representation of Affine Term Structure Models",

author = "Damir Filipovic and Patrick Cheridito and Ron Kimmel",

year = "2009",

month = feb,

day = "1",

language = "English",

journal = "Mathematical Finance",

issn = "0960-1627",

publisher = "Wiley-Blackwell Publishing Ltd",

}