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*
Article first published 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 published online: 7 JUN 2010
- Article first published online: 7 JUN 2010
- Manuscript received October 2006; final revision received September 2008.
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