The authors are grateful to Vadim Linetsky for useful discussions and suggestions, and especially to the associate editor and two anonymous referees for a numerous valuable comments on the first two versions of the paper and recommendations. The usual disclaimer applies.
THE EIGENFUNCTION EXPANSION METHOD IN MULTI-FACTOR QUADRATIC TERM STRUCTURE MODELS
Article first published online: 14 SEP 2007
Volume 17, Issue 4, pages 503–539, October 2007
How to Cite
Boyarchenko, N. and Levendorskiǐ, S. (2007), THE EIGENFUNCTION EXPANSION METHOD IN MULTI-FACTOR QUADRATIC TERM STRUCTURE MODELS. Mathematical Finance, 17: 503–539. doi: 10.1111/j.1467-9965.2007.00314.x
- Issue published online: 14 SEP 2007
- Article first published online: 14 SEP 2007
- Manuscript received December 2004; final revision received June 2006.
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