The dynamics of the forward interest rate curve: A formulation with state variables

Journal of Financial and Quantitative Analysis

Volumn 34, Issue 1, 1999, Pages 131-157

  De Jong, Frank ^a   Santa Clara, Pedro ^b  

^a UNIVERSITY OF AMSTERDAM   (Netherlands)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0033441741     PISSN: 00221090     EISSN: None     Source Type: Journal    
DOI: 10.2307/2676249     Document Type: Article

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