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Multivariate Feller conditions in term structure models : why do(n't) we care?
Spreij, Peter; Veerman, Enno; Vlaar, Peter J. G. - 2008
Persistent link: https://www.econbiz.de/10003688907
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An affine two-factor heteroskedastic macro-finance term structure model
Spreij, Peter; Veerman, Enno; Vlaar, Peter J. G. - In: Applied mathematical finance 18 (2011) 3/4, pp. 331-352
Persistent link: https://www.econbiz.de/10009381906
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Regime switching affine processes with applications to finance
Beek, Misha van; Mandjes, Michel; Spreij, Peter; … - In: Finance and stochastics 24 (2020) 2, pp. 309-333
Persistent link: https://www.econbiz.de/10012253354
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An infinite-dimensional affine stochastic volatility model
Cox, Sonja; Karbach, Sven; Khedher, Asma - In: Mathematical finance : an international journal of … 32 (2022) 3, pp. 878-906
Persistent link: https://www.econbiz.de/10013331066