Se p 20 08 AFFINE MODELS
نویسندگان
چکیده
Affine term structure models have gained a lot of attention in the finance literature, which is due to their analytic tractability and statistical flexibility. The aim of this article is to present both, theoretical foundations and empirical aspects. Starting from the first short rate models, namely the Vasiček and the Cox-Ingersoll-Ross ones, we then give an overview of some properties of affine processes and explain their relation to affine term structure models. Pricing and estimation techniques are eventually mentioned, showing how the analytic tractability of affine models can be exploited for practical purposes.
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