We derive the class of affine arbitrage-free dynamic term structure models that approximate the widely-used Nelson-Siegel yield curve specification. These arbitrage-free Nelson-Siegel (AFNS) models ...
I formulate an affine term structure model of bond yields from a general equilibrium business-cycle model, with observable macro state variables of the structural economy as the factors. The factor ...
We propose an affine extension of the linear Gaussian term structure model (LGM) such that the instantaneous covariation of the factors is given by an affine process on semidefinite positive matrixes.
Some results have been hidden because they may be inaccessible to you
Show inaccessible results