Nonaffine Models of Yield Term Structure

DOI10.1007/978-3-319-97595-5_2zbMath1457.91398OpenAlexW2886489845MaRDI QIDQ5126540

G. A. Medvedev

Publication date: 20 October 2020

Published in: Information Technologies and Mathematical Modelling. Queueing Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-97595-5_2

zbMATH Keywords

forward curveyield curvezero-coupon bondterm structure equationAhn-Gao modelCIR (1980) model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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

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