References
Andersen, T.G. and Lund, J. (1997), “Stochastic Volatility and Mean Drift in the Short Term Interest
Rate Diffusion: Source of Steepness, Level and Curvature in the Yield Curve,” Working Paper
214, Department of Finance, Kellogg School, Northwestern University.
Balduzzi, P., Das, S.R., Foresi, S., and Sundaram, R. (1996), “A Simple Approach to Three-Factor Affine
Term Structure Models,” Journal of Fixed Income, 6, 43-53.
Bates, D. (1999), “Financial Markets’ Assessment of EMU,” Carnegie-Rochester Conference Series on
Public Policy, 51, 229-269.
Bjork, T. (2000), “A Geometric View of Interest Rate Theory,” Handbook OfMathematical Finance,
forthcoming. Cambridge: Cambridge University Press.
Bjork, T. and Christensen, B. (1999), “Interest Rate Dynamics and Consistent Forward Rate Curves,”
Mathematical Finance, 9, 323-348.
Bjork, T. and Landén, C. (2000), “On the Construction of Finite Dimensional Realizations for Nonlinear
Forward Rate Models,” Manuscript, Stockholm School of Economics.
Bjork, T. and Svensson, L. (2001), “On the Existence of Finite Dimensional Realizations for Nonlinear
Forward Rate Models,” Mathematical Finance, 11, 205-243.
Bliss, R. (1997a), “Movements in the Term Structure of Interest Rates,” Economic Review, Federal
Reserve Bank of Atlanta, 82, 16-33.
Bliss, R. (1997b), “Testing Term Structure Estimation Methods,” Advances in Futures and Options
Research, 9, 97-231.
Brandt, M.W. and Yaron, A. (2001), “Time-Consistent No-Arbitrage Models of the Term Structure,”
Manuscript, University of Pennsylvania.
Chen, L. (1996), Stochastic Mean and Stochastic Volatility - A Three Factor Model of the Term Structure
of Interest Rates and its Application to the Pricing of Interest Rate Derivatives. London:
Blackwell Publishers.
Cochrane, J.H. and Piazzesi, M. (2002), “Bond Risk Premia,” Manuscript, University of Chicago and
UCLA.
Courant, E. and Hilbert, D. (1953), Methods ofMathematical Physics. New York: John Wiley.
Cox, J.C., Ingersoll, J.E. and Ross, S.A. (1985), “A Theory of the Term Structure of Interest Rates,”
Econometrica, 53, 385-407.
Dai, Q. and Singleton, K. (2000), “Specification Analysis of Affine Term Structure Models,” Journal of
Finance, 55, 1943-1978.
Dai, Q. and Singleton, K.J. (2002), “Expectation Puzzles, Time-varying Risk Premia, and Affine Models
More intriguing information
1. Endogenous Determination of FDI Growth and Economic Growth:The OECD Case2. Emissions Trading, Electricity Industry Restructuring and Investment in Pollution Abatement
3. The name is absent
4. An Investigation of transience upon mothers of primary-aged children and their school
5. Gender and headship in the twenty-first century
6. Palvelujen vienti ja kansainvälistyminen
7. The name is absent
8. SOME ISSUES IN LAND TENURE, OWNERSHIP AND CONTROL IN DISPERSED VS. CONCENTRATED AGRICULTURE
9. Meat Slaughter and Processing Plants’ Traceability Levels Evidence From Iowa
10. The name is absent