1
$\begingroup$

http://www.darrellduffie.com/uploads/pubs/DuffieKan1996.pdf

I was trying to read above paper on the topic of multi-factor affine models, but I presume the contents have been dealt with more thoroughly in perhaps a textbook aimed at a broader audience. Does anybody know of such a reference?

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.