We are grateful for discussions with Ken Singleton, Bob Litteman, Antoine Conze, Nicole El Karoui, Vincent Lacoste, Jeremy Evnine, Antoine Frachot, Henri Pagès, Jean-Philippe Lesne. Fischer Black, Ayman Hindy, George Pennachi, Rob Bliss, Prasad Nannisetty, Stan Pliska, Chris Rogers. Oldrich Vasicek, and especially to a referee for pointing out an error in an earlier version.
A YIELD-FACTOR MODEL OF INTEREST RATES
Version of Record online: 6 DEC 2006
Volume 6, Issue 4, pages 379–406, October 1996
How to Cite
Duffie, D. and Kan, R. (1996), A YIELD-FACTOR MODEL OF INTEREST RATES. Mathematical Finance, 6: 379–406. doi: 10.1111/j.1467-9965.1996.tb00123.x
- Issue online: 6 DEC 2006
- Version of Record online: 6 DEC 2006
- Manuscript received September, 1994; funal version received Auguvt 1995
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