STATE SPACE DECOMPOSITION AND CLASSIFICATION OF TERM STRUCTURE SHAPES IN THE TWO-FACTOR VASICEK MODEL

DOI10.1142/s0219024923500139arXiv2303.13966OpenAlexW4386806733MaRDI QIDQ6182052

Unnamed Author, Martin Keller-Ressel

Publication date: 23 January 2024

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

Full work available at URL: https://arxiv.org/abs/2303.13966

zbMATH Keywords

forward curveinterest rateswinding numberenvelopeterm structureyield curveVašíček model

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

• Determinantal identities: Gauss, Schur, Cauchy, Sylvester, Kronecker, Jacobi, Binet, Laplace, Muir, and Cayley
• Interest rate models -- theory and practice. With smile, inflation and credit
• Yield curve shapes and the asymptotic short rate distribution in affine one-factor models
• Graphs on surfaces and their applications. Appendix by Don B. Zagier
• Correction to: Yield curve shapes and the asymptotic short rate distribution in affine one-factor models
• Yield curve shapes of Vašíček interest rate models, measure transformations and an application for the simulation of pension products
• LÉVY–VASICEK MODELS AND THE LONG-BOND RETURN PROCESS
• THE CLASSIFICATION OF TERM STRUCTURE SHAPES IN THE TWO-FACTOR VASICEK MODEL — A TOTAL POSITIVITY APPROACH
• An equilibrium characterization of the term structure
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: STATE SPACE DECOMPOSITION AND CLASSIFICATION OF TERM STRUCTURE SHAPES IN THE TWO-FACTOR VASICEK MODEL