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Consistency conditions for affine term structure models

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  • Sergei LevendorskiĬ

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Abstract

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Suggested Citation

  • Sergei LevendorskiĬ, 2006. "Consistency conditions for affine term structure models," Annals of Finance, Springer, vol. 2(2), pages 207-224, March.
  • Handle: RePEc:kap:annfin:v:2:y:2006:i:2:p:207-224
    DOI: 10.1007/s10436-005-0035-6
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    File URL: http://hdl.handle.net/10.1007/s10436-005-0035-6
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    References listed on IDEAS

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    1. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    2. Tomas Björk & Yuri Kabanov & Wolfgang Runggaldier, 1997. "Bond Market Structure in the Presence of Marked Point Processes," Mathematical Finance, Wiley Blackwell, vol. 7(2), pages 211-239.
    3. Sergei Levendorskii, 2004. "Consistency conditions for affine term structure models," Papers cond-mat/0404107, arXiv.org.
    4. D. Duffie & D. Filipovic & W. Schachermayer, 2002. "Affine Processes and Application in Finance," NBER Technical Working Papers 0281, National Bureau of Economic Research, Inc.
    5. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters,in: Theory Of Valuation, chapter 5, pages 129-164 World Scientific Publishing Co. Pte. Ltd..
    6. Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
    7. Sergei Levendorskii, 2004. "Consistency conditions for affine term structure models," Econometric Society 2004 North American Winter Meetings 413, Econometric Society.
    8. Levendorskii, Sergei, 2004. "Consistency conditions for affine term structure models," Stochastic Processes and their Applications, Elsevier, vol. 109(2), pages 225-261, February.
    9. George Chacko, 2002. "Pricing Interest Rate Derivatives: A General Approach," Review of Financial Studies, Society for Financial Studies, vol. 15(1), pages 195-241, March.
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    More about this item

    Keywords

    Affine term structure models; Feynman-Kac formula; Processes with jumps; D81; C61;

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

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