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A NOTE ON THE DAI-SINGLETON CANONICAL REPRESENTATION OF AFFINE TERM STRUCTURE MODELS*
16 references·3 citing·31 second hop
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
  • 2003Affine processes and applications in finance1,044 cited
  • 2006Market price of risk specifications for affine models: Theory and evidence☆326 cited
  • 2010Correlation Risk and Optimal Portfolio Choice265 cited
  • 2007Option pricing when correlations are stochastic: an analytical framework206 cited
  • 1996A Simple Approach to Three-Factor Affine Term Structure Models154 cited
  • 2008Identification of Maximal Affine Term Structure Models120 cited

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  • 2017Can Unspanned Stochastic Volatility Models Explain the Cross Section of Bond Volatilities?71 cited
  • Cited by

    • 2009Affine diffusion processes: theory and applications33 cited
    • 2016Pitfalls of the Fourier Transform Method in Affine Models, and Remedies26 cited
    • 2016A Multifactor Stochastic Volatility Model of Commodity Prices24 cited