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conference paper
Affine Short Rate Models
2002
Seminar on Stochastic Analysis, Random Fields and Applications III
We give a complete characterization of affine term structure (ATS) models based on a general non-negative Markov short rate process. This applies to the classical Cox—Ingersoll—Ross (CIR) model but includes as well short rate processes with jumps. We provide a link to the theory of branching processes and show how CBI-processes naturally enter the field of term structure modelling. Using Markov semigroup theory we exploit the full structure behind an ATS and provide a deeper understanding of some well-known properties of the CIR model. As a byproduct we get that any conservative CBI-process is a semimartingale.
Type
conference paper
Authors
Publication date
2002
Published in
Seminar on Stochastic Analysis, Random Fields and Applications III
Start page
121
End page
132
Peer reviewed
REVIEWED
EPFL units
Event name | Event place | Event date |
Centro Stefano Franscini, Ascona, Switzerland | September 1999 | |
Available on Infoscience
August 13, 2013
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