A general characterization of one factor affine term structure models
نویسندگان
چکیده
منابع مشابه
A general characterization of one factor affine term structure models
We give a complete characterization of affine term structure models based on a general nonnegative Markov short rate process. This applies to the classical CIR model but includes as well short rate processes with jumps. We provide a link to the theory of branching processes and show how CBIprocesses naturally enter the field of term structure modelling. Using Markov semigroup theory we exploit ...
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ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 2001
ISSN: 0949-2984
DOI: 10.1007/pl00013540