The dynamics of the forward interest rate curve: A formulation with state variables

Research output: Contribution to journal › Article › Scientific › peer-review

Original language	English
Pages (from-to)	131-157
Number of pages	26
Journal	Journal of Financial and Quantitative Analysis
Volume	34
Issue number	1
Publication status	Published - 1999

Cite this

@article{cecd88216c8140dea8cdbdebdf36e2aa,

title = "The dynamics of the forward interest rate curve: A formulation with state variables",

author = "\{de Jong\}, F.C.J.M.",

note = "Pagination: 26",

year = "1999",

language = "English",

volume = "34",

pages = "131--157",

journal = "Journal of Financial and Quantitative Analysis",

issn = "0022-1090",

publisher = "Cambridge University Press",

number = "1",

}