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Consistency conditions for affine term structure models

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  • Sergei LevendorskiĬ

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  • 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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    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: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
    2. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    3. Sergei Levendorskii, 2004. "Consistency conditions for affine term structure models," Papers cond-mat/0404107, arXiv.org.
    4. Darrel Duffie & Damir Filipović & Walter Schachermayer, 2002. "Affine Processes and Application in Finance," NBER Technical Working Papers 0281, National Bureau of Economic Research, Inc.
    5. 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, April.
    6. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1981. "A Re-examination of Traditional Hypotheses about the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 36(4), pages 769-799, September.
    7. Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," The Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
    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. Sergei Levendorskii, 2004. "Consistency conditions for affine term structure models," Econometric Society 2004 North American Winter Meetings 413, Econometric Society.
    10. George Chacko, 2002. "Pricing Interest Rate Derivatives: A General Approach," The Review of Financial Studies, Society for Financial Studies, vol. 15(1), pages 195-241, March.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Affine term structure models; Feynman-Kac formula; Processes with jumps; D81; C61;
    All these keywords.

    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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