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  • Search: subject:"Infinitely Decomposable Processes"
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Affine Term Structure Models 1 CBI-Processes 1 Infinitely Decomposable Processes 1 Non-continuous Markovian Short Rates 1
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Filipovic, Damir 1
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Finance and Stochastics 1
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A general characterization of one factor affine term structure models
Filipovic, Damir - In: Finance and Stochastics 5 (2001) 3, pp. 389-412
We give a complete characterization of affine term structure models based on a general nonnegative Markov short rate process. This applies to the classical CIR model but includes as well short rate processes with jumps. We provide a link to the theory of branching processes and show how...
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