On the Level-Slope-Curvature Effect in Yield Curves and Eventual Total Positivity

DOI10.1137/140998354zbMath1338.91159OpenAlexW1849356591MaRDI QIDQ3195110

Carlos Tolmasky, Liliana Forzani

Publication date: 21 October 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11336/30774

zbMATH Keywords

totally positive matricesinterest rate modelsprincipal components analysis

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Statistical methods; risk measures (91G70) Microeconomic theory (price theory and economic markets) (91B24) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Some results on correlation matrices for interest rates
• On Perron-Frobenius property of matrices having some negative entries
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Level–Slope–Curvature – Fact or Artefact?
• A FAMILY OF MODELS EXPLAINING THE LEVEL-SLOPE-CURVATURE EFFECT
• Totally positive matrices
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