Kwon, Oh Kang - In: Applied Mathematical Finance 14 (2007) 4, pp. 291-302
It is well-known that time-homogeneous affine term structure models are incompatible with most observed initial forward rate curves. For the Vasicek (1977) and Cox et al. (1985) models, time-inhomogeneous extensions capable of fitting any given initial forward rate curve were introduced in Hull...