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The Duffie–Kan One-Factor Model

In: Yield Curves and Forward Curves for Diffusion Models of Short Rates

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  • Gennady A. Medvedev

    (Belarusian State University)

Abstract

The term structure of interest rates plays a key role in determining the price of bonds. Therefore, its properties are of interest to many financial analysts. However, in the available literature one can usually only find a schematic description of these properties. Here, an attempt is made to describe in detail all possible forms of the time structure for the class of affine interest rate models, since for these models it is possible to write down the solutions explicitly. The Duffie–Kan (DK) model with an arbitrary lower bound for the risk-free (spot) interest rate is adopted as the main model. The results for the widely known CIR and Vasiček modelsVasiček model are obtained as special cases. The possible types of the shape of the yield curveYield curve are found.

Suggested Citation

  • Gennady A. Medvedev, 2019. "The Duffie–Kan One-Factor Model," Springer Books, in: Yield Curves and Forward Curves for Diffusion Models of Short Rates, chapter 0, pages 71-91, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-15500-1_5
    DOI: 10.1007/978-3-030-15500-1_5
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