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Mathematical Finance

Volumn 18, Issue 1, 2008, Pages 135-153

Solvable affine term structure models

(2) Grasselli, Martino a,d Tebaldi, Claudio b,c

a UNIVERSITY OF PADOVA (Italy)

b BOCCONI UNIVERSITY (Italy)

c UNIVERSITY OF VERONA (Italy)

d Departimento di Matematica Pura Ed Applicata (Italy)

Author keywords

Affine Terms Structure Models; Lie algebra; Riccati ODE; Symmetric cone

Indexed keywords

EID: 37249024189 PISSN: 09601627 EISSN: 14679965 Source Type: Journal
DOI: 10.1111/j.1467-9965.2007.00325.x Document Type: Article

Times cited : (58)

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