Correction to: Yield curve shapes and the asymptotic short rate distribution in affine one-factor models
In this note, the author corrects an error made in the article [\textit{M. Keller-Ressel} and \textit{T. Steiner}, Finance Stoch. 12, No. 2, 149--172 (2008; Zbl 1150.91020)]. The error concerned the threshold at which the yield curve in an affine short rate model changes from normal (strictly increasing) to humped (endowed with a single maximum). This threshold is not the same for the forward curve and for the yield curve. The correct mathematical expression for the threshold is given, supplemented with a self-contained and corrected proof.
- Yield curve shapes and the asymptotic short rate distribution in affine one-factor models
- Correction to: ``Yield curve shapes of Vasicek interest rate models, measure transformations and an application for the simulation of pension products
- Correction to: ``Yield curve shapes of Vasicek interest rate models, measure transformations and an application for the simulation of pension products
- Corrigendum to ‘A Gaussian approach for continuous time models of short‐term interest rates’
- Estimation and inference in the yield curve model with an instantaneous error term
- Yield curves and forward curves for diffusion models of short rates
- Analysis of multifactor affine yield curve models
- A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models
- Remarks on some short rate term structure models
- Identification of affine term structures from yield curve data
- Yield curve shapes of Vašíček interest rate models, measure transformations and an application for the simulation of pension products
- The classification of term structure shapes in the two-factor Vasicek model -- a total positivity approach
- Correction to: ``Yield curve shapes of Vasicek interest rate models, measure transformations and an application for the simulation of pension products
- Correction to: ``Yield curve shapes of Vasicek interest rate models, measure transformations and an application for the simulation of pension products
- STATE SPACE DECOMPOSITION AND CLASSIFICATION OF TERM STRUCTURE SHAPES IN THE TWO-FACTOR VASICEK MODEL
- Term structure shapes and their consistent dynamics in the Svensson family
- On the reducibility of affine models with dependent Lévy factors
- Yield curve shapes and the asymptotic short rate distribution in affine one-factor models
This page was built for publication: Correction to: Yield curve shapes and the asymptotic short rate distribution in affine one-factor models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1709609)
