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Working Papers (1993), ESSEC Business School

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., PORTAIT Roland

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.