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Single Factor Heath-Jarrow-Morton Term Structure Models Based on Markov Spot Interest Rate Dynamics

Andrew Jeffrey

Journal of Financial and Quantitative Analysis 1995 30(4), 619

Andrew Jeffrey, Single Factor Heath-Jarrow-Morton Term Structure Models Based on Markov Spot Interest Rate Dynamics, The Journal of Financial and Quantitative Analysis, Vol. 30, No. 4 (Dec., 1995), pp. 619-642

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Single Factor Heath-Jarrow-Morton Term Structure Models Based on Markov Spot Interest Rate Dynamics