Journal of Mathematical Finance

Vol.5 No.2(2015), Paper ID 56116, 11 pages

DOI:10.4236/jmf.2015.52013

 

Arbitrage-Free Gaussian Affine Term Structure Model with Observable Factors

 

Gang Wang

 

School of Finance, Shanghai University of Finance and Economics, Shanghai, China
Shanghai Key Laboratory of Financial Information Technology, Shanghai, China

 

Copyright © 2015 Gang Wang et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

 

How to Cite this Article

Wang, G. (2015) Arbitrage-Free Gaussian Affine Term Structure Model with Observable Factors. Journal of Mathematical Finance, 5, 142-152. doi: 10.4236/jmf.2015.52013.
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