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- W3124965823 abstract "In this paper, we review recent developments in modeling term structures of market yields on default-free bonds. Our discussion is restricted to continuous-time dynamic term structure models (DTSMs). We derive joint conditional moment generating functions (CMGFs) of state variables for DTSMs in which state variables follow multivariate affine diffusions and jump-diffusion processes with random intensity. As an illustration of the pricing methods, we provide special cases of the general formulations as examples. The examples span a wide cross-section of models from early one-factor models of Vasicek to more recent interest rate models with stochastic volatility, random intensity jump-diffusions and quadratic-Gaussian DTSMs. We also derive the European call option price on a zero-coupon bond for linear quadratic term structure models." @default.
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- W3124965823 date "2012-01-01" @default.
- W3124965823 modified "2023-09-23" @default.
- W3124965823 title "Interest Rate Models" @default.
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- W3124965823 doi "https://doi.org/10.4236/jmf.2012.22016" @default.
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