Nonaffine models of yield term structure
DOI10.1007/978-3-319-97595-5_2zbMATH Open1457.91398OpenAlexW2886489845MaRDI QIDQ5126540FDOQ5126540
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
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Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cites Work
Cited In (13)
- Title not available (Why is that?)
- A numerical approach to obtain the yield curves with different risk-neutral drifts
- A note on the Dai-Singleton canonical representation of affine term structure models
- Title not available (Why is that?)
- A general characterization of one factor affine term structure models
- Modelling the term structure of interest rates with general short-rate models
- A NOTE ON NONAFFINE SOLUTIONS OF TERM STRUCTURE EQUATIONS WITH APPLICATIONS TO POWER EXCHANGES
- Consistency conditions for affine term structure models.
- AFFINE PROCESSES, ARBITRAGE-FREE TERM STRUCTURES OF LEGENDRE POLYNOMIALS, AND OPTION PRICING
- SEPARABLE TERM STRUCTURES AND THE MAXIMAL DEGREE PROBLEM
- Yield curve shapes and the asymptotic short rate distribution in affine one-factor models
- Identification of affine term structures from yield curve data
- Bond pricing when the short-term interest rate follows a threshold process
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