Mean Reversion Level Extensions of Time‐Homogeneous Affine Term Structure Models

DOI10.1080/13504860600951686MaRDI QIDQ5459527zbMATH OpenOpenAlexFDO

Authors Oh Kang Kwon

Publication date 29 April 2008

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/13504860600951686

zbMATH Keywords

time-inhomogeneous extensionaffine term structure modelmean reversion modelinitial forward rate curve

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

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Cites work

• A YIELD‐FACTOR MODEL OF INTEREST RATES
• A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Pricing interest-rate-derivative securities

Cited in

(4)

• On the equivalence of a class of affine term structure models
• A unified approach to explicit bond price solutions under a time-dependent affine term structure modelling framework
• Affine term-structure models with delays
• Re-specification of Affine Term Structure Models: The Linkage to Empirical Investigations

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