Conditions For Consistent Exponential-Polynomial Forward Rate Processes With Multiple Nontrivial Factors

We present conditions that allow consistent exponential-polynomial forward curve models with two exponential terms to have more than one nontrivial factor. This result leads to seven- and nine-parameter extensions of the Svensson model, for which the consistency conditions allow for two and three stochastic parameters respectively.


Published in:
International Journal of Theoretical and Applied Finance, 07, 06, 685-700
Year:
2004
ISSN:
1793-6322
Keywords:
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 Record created 2013-08-13, last modified 2018-03-17

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