Affine term structure models: A time‐change approach with perfect fit to market curves

DOI10.1111/mafi.12342zbMath1522.91293arXiv1903.04211OpenAlexW4206617106MaRDI QIDQ6054424

Cheikh Mbaye, Frédéric Vrins

Publication date: 28 September 2023

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

Full work available at URL: https://arxiv.org/abs/1903.04211

zbMATH Keywords

term structure modelscredit riskmodel calibrationjump diffusionsstochastic intensitytime-change techniques

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Credit risk (91G40)

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