On the equivalence of a class of affine term structure models

DOI10.1007/s10436-007-0094-yzbMath1233.91294OpenAlexW1983471080MaRDI QIDQ666298

Oh Kang Kwon

Publication date: 8 March 2012

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-007-0094-y

zbMATH Keywords

equivalenceindistinguishabilityaffine term structure modelstime-inhomogeneous extension

Mathematics Subject Classification ID

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

Cites Work

• On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models
• A Theory of the Term Structure of Interest Rates
• On the geometry of the term structure of interest rates
• A NOTE ON THE DAI-SINGLETON CANONICAL REPRESENTATION OF AFFINE TERM STRUCTURE MODELS*
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• Mean Reversion Level Extensions of Time‐Homogeneous Affine Term Structure Models
• A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
• Unnamed Item

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