PRINCIPAL-COMPONENT-BASED GAUSSIAN AFFINE TERM STRUCTURE MODELS: CONSTRAINTS AND THEIR FINANCIAL IMPLICATIONS

DOI10.1142/S0219024920500089zbMath1443.91311OpenAlexW3003277998MaRDI QIDQ5114678

Riccardo Rebonato, Vlad Putiatyn, Ivan Saroka

Publication date: 25 June 2020

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024920500089

zbMATH Keywords

risk premiaprincipal componentsaffine term structure modelsmarket price of risk

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)

AFFINE MODELS WITH STOCHASTIC MARKET PRICE OF RISK

Cites Work

• A YIELD‐FACTOR MODEL OF INTEREST RATES
• The Market Model of Interest Rate Dynamics
• Unnamed Item

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