An earlier version of this paper was circulated under the title “A Note on the Canonical Representation of Affine Diffusion Processes.”
A NOTE ON THE DAI–SINGLETON CANONICAL REPRESENTATION OF AFFINE TERM STRUCTURE MODELS*
Version of Record online: 7 JUN 2010
© Copyright the Authors. Journal Compilation © 2010 Wiley Periodicals, Inc.
Volume 20, Issue 3, pages 509–519, July 2010
How to Cite
Cheridito, P., Filipović, D. and Kimmel, . R. L. (2010), A NOTE ON THE DAI–SINGLETON CANONICAL REPRESENTATION OF AFFINE TERM STRUCTURE MODELS. Mathematical Finance, 20: 509–519. doi: 10.1111/j.1467-9965.2010.00408.x
We thank Kenneth Singleton for helpful comments. Damir Filipović thanks Darrell Duffie and George Papanicolaou for their kind hospitality during his stay at Stanford University in September 2006. Patrick Cheridito was supported by NSF Grant DMS-0642361, a Rheinstein Award, and a Peek Fellowship. Damir Filipović was supported by WWTF (Vienna Science and Technology Fund) and Swissquote.
- Issue online: 7 JUN 2010
- Version of Record online: 7 JUN 2010
- Manuscript received October 2006; final revision received September 2008.
Options for accessing this content:
- If you are a society or association member and require assistance with obtaining online access instructions please contact our Journal Customer Services team.
- If your institution does not currently subscribe to this content, please recommend the title to your librarian.
- Login via other institutional login options http://onlinelibrary.wiley.com/login-options.
- You can purchase online access to this Article for a 24-hour period (price varies by title)
- New Users: Please register, then proceed to purchase the article.
Login via OpenAthens
Search for your institution's name below to login via Shibboleth.
Registered Users please login:
- Access your saved publications, articles and searches
- Manage your email alerts, orders and subscriptions
- Change your contact information, including your password
Please register to:
- Save publications, articles and searches
- Get email alerts
- Get all the benefits mentioned below!