Yield curve shapes and the asymptotic short rate distribution in affine one-factor models

DOI10.1007/s00780-007-0059-zzbMath1150.91020arXiv0704.0567MaRDI QIDQ928499

Martin Keller-Ressel, Thomas Steiner

Publication date: 18 June 2008

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0704.0567

zbMATH Keywords

term structure of interest rates; Ornstein-Uhlenbeck process; yield curve; affine process

Mathematics Subject Classification ID

60J25: Continuous-time Markov processes on general state spaces

91G30: Interest rates, asset pricing, etc. (stochastic models)

Related Items

Holomorphic transforms with application to affine processes

Cites Work

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