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

DOI10.1007/s00780-018-0359-5zbMath1396.91782OpenAlexW2962875826MaRDI QIDQ1709609

Martin Keller-Ressel

Publication date: 6 April 2018

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

Full work available at URL: https://doi.org/10.1007/s00780-018-0359-5

zbMATH Keywords

thresholdyield curveaffine short rate model

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (3)

STATE SPACE DECOMPOSITION AND CLASSIFICATION OF TERM STRUCTURE SHAPES IN THE TWO-FACTOR VASICEK MODEL ⋮ Yield curve shapes of Vašíček interest rate models, measure transformations and an application for the simulation of pension products ⋮ THE CLASSIFICATION OF TERM STRUCTURE SHAPES IN THE TWO-FACTOR VASICEK MODEL — A TOTAL POSITIVITY APPROACH

Cites Work

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

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