Analysis of Multi-Factor Affine Yield Curve Models

SSRN Electronic Journal
doi 10.2139/ssrn.1285060
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Elsevier BV

Related search

Correction To: Yield Curve Shapes and the Asymptotic Short Rate Distribution in Affine One-Factor Models

Finance and Stochastics
UncertaintyStatisticsFinanceProbability
2018English

A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration

SSRN Electronic Journal
2004English

A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources and Generalized Duration

English

The Affine Curve-Lengthening Flow

Journal für die Reine und Angewandte Mathematik
MathematicsApplied Mathematics
1999English

A Hyperbolic-Type Affine Invariant Curve Flow

Communications in Analysis and Geometry
StatisticsProbabilityGeometryUncertaintyAnalysisTopology
2014English

Direct Estimation of the Risk Neutral Factor Dynamics of Affine Term Structure Models

SSRN Electronic Journal
1998English

Affine Models of Currency Pricing

1996English

Riding the Yield Curve

IMF Working Papers
2020English

Grid Peeling and the Affine Curve-Shortening Flow

2018English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2024 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy