Work

Single Factor Heath-Jarrow-Morton Term Structure Models Based on Markov Spot Interest Rate Dynamics

Year: 1995

Type: article

Abstract: Andrew Jeffrey, Single Factor Heath-Jarrow-Morton Term Structure Models Based on Markov Spot Interest Rate Dynamics, The Journal of Financial and Quantitative Analysis, Vol. 30, No. 4 (Dec., 1995), pp. 619-642

Source: Journal of Financial and Quantitative Analysis

DOI: 10.2307/2331280

Author: Andrew Jeffrey

Institution: UNSW Sydney

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1976090153

FWCI: 3.313

Cites: 34

Cited by: 131

Related to: 10