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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zbMATH Keywords

yield curvezero-coupon bondforward curveterm structure equationAhn-Gao modelCIR (1980) model

Mathematics Subject Classification ID

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

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

Cited In (21)

• Yield curves and forward curves for diffusion models of short rates
• 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
• Approximate solution for the quadratic profitability model
• On the properties of one-dimensional quadratic model of the term structure of yields
• 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
• Affine term structure as multi-soliton
• Stochastic Jacobians in affine term-structure models: a local property
• A NOTE ON NONAFFINE SOLUTIONS OF TERM STRUCTURE EQUATIONS WITH APPLICATIONS TO POWER EXCHANGES
• Consistency conditions for affine term structure models.
• Staying at zero with affine processes: an application to term structure modelling
• AFFINE PROCESSES, ARBITRAGE-FREE TERM STRUCTURES OF LEGENDRE POLYNOMIALS, AND OPTION PRICING
• Hybrid term structure models
• Affine term-structure models with delays
• 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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