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On the equivalence of a class of affine term structure models

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  • Oh Kwon

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  • Oh Kwon, 2009. "On the equivalence of a class of affine term structure models," Annals of Finance, Springer, vol. 5(2), pages 263-279, March.
  • Handle: RePEc:kap:annfin:v:5:y:2009:i:2:p:263-279 DOI: 10.1007/s10436-007-0094-y
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    File URL: http://hdl.handle.net/10.1007/s10436-007-0094-y
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    References listed on IDEAS

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    1. 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..
    2. David Heath & Robert Jarrow & Andrew Morton, 2008. "Bond Pricing And The Term Structure Of Interest Rates: A New Methodology For Contingent Claims Valuation," World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 13, pages 277-305 World Scientific Publishing Co. Pte. Ltd..
    3. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-592.
    4. Damiano Brigo & Fabio Mercurio, 2001. "A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models," Finance and Stochastics, Springer, vol. 5(3), pages 369-387.
    5. Oh Kang Kwon, 2007. "Mean Reversion Level Extensions of Time-Homogeneous Affine Term Structure Models," Applied Mathematical Finance, Taylor & Francis Journals, pages 291-302.
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    1. repec:eee:quaeco:v:64:y:2017:i:c:p:292-305 is not listed on IDEAS

    More about this item

    Keywords

    Affine term structure models; Equivalence; Indistinguishability; Time-inhomogeneous extension; D52; D81; G11;

    JEL classification:

    • D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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