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A COMPLETE YIELD CURVE DESCRIPTION OF A MARKOV INTEREST RATE MODEL
16 references·1 citing·36 second hop
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  • 1966A Markov Model of the Term Structure45 cited
  • 2001Stochastic flows and the forward measure32 cited
  • 1993Mortgages and Markov Chains: A Simplified Evaluation Model27 cited

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Cited by

  • 2004Stochastic volatility Gaussian Heath-Jarrow-Morton models19 cited