Realdon, Marco - In: International review of financial analysis 18 (2009) 5, pp. 232-238
This paper examines "Extended Black" term structure models (EBTSM), which are multi-factor extensions of the one factor Black (1995) model. EBTSM are not affected by the admissibility restrictions that plague canonical affine models. EBTSM encompass quadratic models, but unlike in quadratic...
