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Multi-Factor Term Structure Models

Darrell Duffie and Rui Kan
Philosophical Transactions: Physical Sciences and Engineering
Vol. 347, No. 1684, Mathematical Models in Finance (Jun. 15, 1994), pp. 577-586
Published by: Royal Society
Stable URL: http://www.jstor.org/stable/54368
Page Count: 10
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Multi-Factor Term Structure Models
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Abstract

This is a survey of multi-factor structure models, concentrating on models in which the term structure has a finite-dimensional (Markov diffusion) state-space representation. The special `affine' case is shown to be tractable.

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