THE CLASSIFICATION OF TERM STRUCTURE SHAPES IN THE TWO-FACTOR VASICEK MODEL — A TOTAL POSITIVITY APPROACH

DOI10.1142/S0219024921500278zbMath1471.91590arXiv1908.04667OpenAlexW3173713286MaRDI QIDQ5157842

Martin Keller-Ressel

Publication date: 20 October 2021

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

Full work available at URL: https://arxiv.org/abs/1908.04667

zbMATH Keywords

forward curveinterest ratestotal positivityterm structureVasicek modelyield curveDescartes system

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (3)

OPTIMAL CROSS-CURRENCY MORTGAGE DECISIONS ⋮ Total positivity and relative convexity of option prices ⋮ STATE SPACE DECOMPOSITION AND CLASSIFICATION OF TERM STRUCTURE SHAPES IN THE TWO-FACTOR VASICEK MODEL

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