Complete Characterisation of Arbitrage Free Affine Term Structure Models
نویسندگان
چکیده
It is widely believed that the results in Duffie and Kan (1996) provide the necessary and sufficient conditions for a multifactor model of the term structure of interest rates to admit an affine representation. It is shown here that, in fact, only sufficient conditions are given by Duffie and Kan, and there are families of affine models that do not fall into the Duffie-Kan characterisation. A more complete characterisation of the affine term structure models is then given under a more general setting.
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