The Martingale Approach in a State Variable Framework and the Derivation of Closed-form Solutions of a Multi-factor Model of the Yield Curve

The martingale approach in a state variable framework and the derivation of closed-form solutions of a multi-factor model of the yield curve.

BAJEUX-BESNAINOU, I. and PORTAIT, R. (1993). The Martingale Approach in a State Variable Framework and the Derivation of Closed-form Solutions of a Multi-factor Model of the Yield Curve. ESSEC Business School.