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Cited by 2,491

The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.

A YIELD‐FACTOR MODEL OF INTEREST RATES

Duffie, Darrell, Kan, Rui·1996·Mathematical Finance
DOI 10.1111/j.1467-9965.1996.tb00123.x
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Abstract

This paper presents a consistent and arbitrage‐free multifactor model of the term structure of interest rates in which yields at selected fixed maturities follow a parametric muitivariate Markov diffusion process with “stochastic volatility.” the yield of any zero‐coupon bond is taken to be a maturity‐dependent affine combination of the selected “basis” set of yields. We provide necessary and sufficient conditions on the stochastic model for this affine representation. We include numerical techniques for solving the model, as well as numerical techniques for calculating the prices of term‐structure derivative prices. the case of jump diffusions is also considered.

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Crossref · 10.1111/j.1467-9965.1996.tb00123.x

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Metadata

Authors
Duffie, D., & Kan, R.
Venue
Mathematical Finance
Publisher
Wiley
Published
1996-10
Volume
6
Issue
4
Pages
379-406
ISSN
  • 0960-1627 (ISSN-L)
  • 1467-9965
DOI
10.1111/j.1467-9965.1996.tb00123.x
OpenAlex
W2068629725
Cited by
2,491
References
1
FWCI
84.62
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: A YIELD‐FACTOR MODEL OF INTEREST RATES. https://app.cochat.ai/papers/10.1111/j.1467-9965.1996.tb00123.x
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Duffie, D., & Kan, R. (1996). A YIELD‐FACTOR MODEL OF INTEREST RATES. Mathematical Finance. https://doi.org/10.1111/j.1467-9965.1996.tb00123.x

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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.