Affine Models

A fine term structure models have gained significant attention in the finance literature, mainly due to their analytical tractability and statistical flexibility. The aim of this article is to present both theoretical foundations as well as empirical aspects of the affine model class. Starting from the original one-factor short-rate models of Vasicek and Cox et al, we provide an overview of the properties of regular affine processes and explain their relationship to affine term structure models. Methods for securities pricing and for parameter estimation are also discussed, demonstrating how the analytical tractability of affine models can be exploited for practical purposes.


Published in:
Vienna Institute of Finance, Working Paper Series
Year:
2008
Publisher:
Vienna, Vienna Institute of Finance
Keywords:
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 Record created 2013-08-13, last modified 2018-03-17

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