Zero coupon bonds and affine term structures: Reconsidering the one-factor model

DOI10.1016/S0167-6687(98)00027-4zbMath0916.60077WikidataQ126407924 ScholiaQ126407924MaRDI QIDQ1276461

Luis H. R. Alvarez

Publication date: 19 July 1999

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

linear diffusionsaffine term structureRiccati's equationvalue of a zero coupon bond with maturity

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (1)

On the form and risk-sensitivity of zero coupon bonds for a class of interest rate models

Cites Work

• A Theory of the Term Structure of Interest Rates
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• From Brownian Motion to Schrödinger’s Equation
• Arbitrage Theory in Continuous Time
• Stochastic differential equations. An introduction with applications.
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