Nonaffine models of yield term structure

DOI10.1007/978-3-319-97595-5_2MaRDI QIDQ5126540zbMATH OpenOpenAlexFDO

Authors G. A. Medvedev

Publication date 20 October 2020

Published in Information Technologies and Mathematical Modelling. Queueing Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-97595-5_2

zbMATH Keywords

Ahn-Gao modelCIR (1980) modelforward curveterm structure equationyield curvezero-coupon bond

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• An equilibrium characterization of the term structure
• Yield curve shapes and the asymptotic short rate distribution in affine one-factor models

Cited in

(22)

• Path dependent options on yields in the affine term structure model
• Staying at zero with affine processes: an application to term structure modelling
• Modelling the term structure of interest rates with general short-rate models
• Consistency conditions for affine term structure models.
• Stochastic Jacobians in affine term-structure models: a local property
• Affine term structure as multi-soliton
• Identification of affine term structures from yield curve data
• A note on the Dai-Singleton canonical representation of affine term structure models
• Bond pricing when the short-term interest rate follows a threshold process
• A numerical approach to obtain the yield curves with different risk-neutral drifts
• SEPARABLE TERM STRUCTURES AND THE MAXIMAL DEGREE PROBLEM
• scientific article; zbMATH DE number 1971725 (Why is no real title available?)
• Hybrid term structure models
• AFFINE PROCESSES, ARBITRAGE-FREE TERM STRUCTURES OF LEGENDRE POLYNOMIALS, AND OPTION PRICING
• scientific article; zbMATH DE number 1833959 (Why is no real title available?)
• Affine term-structure models with delays
• Yield curves and forward curves for diffusion models of short rates
• A NOTE ON NONAFFINE SOLUTIONS OF TERM STRUCTURE EQUATIONS WITH APPLICATIONS TO POWER EXCHANGES
• A general characterization of one factor affine term structure models
• Approximate solution for the quadratic profitability model
• On the properties of one-dimensional quadratic model of the term structure of yields
• Yield curve shapes and the asymptotic short rate distribution in affine one-factor models

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