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A Classification of Two Factor Affine Diffusion Term Structure Models

Listed author(s):
  • Christian Gourieroux


  • Razvan Sufana


Dai, Singleton (2000) introduced a typology of affine diffusion models when the domain ofadmissible values of the factors is an intersection of half planes and under some additional constraintson the parameters. This condition on the domain and the additional sufficient constraintsare restrictive and can considerably diminish the practical interest of affine models. In this paperwe successfully address the research agenda sketched by Duffie, Filipovic, Schachermayer (2003),Section 12.2, p. 50. A systematic investigation is performed and our paper provides a completetypology in the two factor case, without prior restrictions on the domain and on the parameters.

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Paper provided by Center for Research in Economics and Statistics in its series Working Papers with number 2005-42.

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Length: 30
Date of creation: 2005
Handle: RePEc:crs:wpaper:2005-42
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