Abstract
Taking a brief look at any interest rate time series such as Treasury Bill rates, one feature is significant: the time series appears to exhibit diffusion behaviors, punctuated by unanticipated jumps.
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© 1996 Springer-Verlag Berlin Heidelberg
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Chen, L. (1996). Extensions of the Model. In: Interest Rate Dynamics, Derivatives Pricing, and Risk Management. Lecture Notes in Economics and Mathematical Systems, vol 435. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-46825-4_8
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DOI: https://doi.org/10.1007/978-3-642-46825-4_8
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-60814-1
Online ISBN: 978-3-642-46825-4
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