ALMEIDA, CAIO IBSEN RODRIGUES DE - In: International Journal of Theoretical and Applied … 08 (2005) 02, pp. 161-184
Multivariate Affine term structure models have been increasingly used for pricing derivatives in fixed income markets. In these models, uncertainty of the term structure is driven by a state vector, while the short rate is an affine function of this vector. The model is characterized by a...