Re-specification of Affine Term Structure Models: The Linkage to Empirical Investigations

DOI10.1080/1350486X.2014.896510zbMath1395.91475MaRDI QIDQ4586318

Bruce Sun, Xinfu Chen, Tingting Huang

Publication date: 12 September 2018

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

zbMATH Keywords

term structureBlack-Scholesprincipal componentaffine term structure modelbond yields

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (1)

Pricing the Excess Volatility in Foreign Exchange Risk Premium and Forward Rate Bias

Uses Software

• StFinMetrics

Cites Work

• The Pricing of Options and Corporate Liabilities
• The affine arbitrage-free class of Nelson-Siegel term structure models
• Direct estimation of the risk neutral factor dynamics of Gaussian term structure models
• A Theory of the Term Structure of Interest Rates
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Optimal Control of Stochastic Partial Differential Equations
• An equilibrium characterization of the term structure
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