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A Classification of Two Factor Affine Diffusion Term Structure Models


  • 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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  • Christian Gourieroux & Razvan Sufana, 2005. "A Classification of Two Factor Affine Diffusion Term Structure Models," Working Papers 2005-42, Center for Research in Economics and Statistics.
  • Handle: RePEc:crs:wpaper:2005-42

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    Cited by:

    1. Eduardo Abi Jaber & Bruno Bouchard & Camille Illand, 2016. "Stochastic invariance of closed sets with non-Lipschitz coefficients," Working Papers hal-01349639, HAL.
    2. Gourieroux, Christian & Sufana, Razvan, 2011. "Discrete time Wishart term structure models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 815-824, June.
    3. Chiarella, Carl & Hsiao, Chih-Ying & Tô, Thuy-Duong, 2016. "Stochastic correlation and risk premia in term structure models," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 59-78.
    4. Gourieroux, C. & Monfort, A., 2008. "Quadratic stochastic intensity and prospective mortality tables," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 174-184, August.
    5. Monfort, A. & Pegoraro, F., 2007. "Switching VARMA Term Structure Models - Extended Version," Working papers 191, Banque de France.
    6. Cheridito, Patrick & Filipovic, Damir & Kimmel, Robert L., 2006. "Affine Term Structure Models," Working Paper Series 2007-2, Ohio State University, Charles A. Dice Center for Research in Financial Economics.

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