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Correction to: Yield curve shapes and the asymptotic short rate distribution in affine one-factor models

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  • Martin Keller-Ressel

    (TU Dresden)

Abstract

Correction to: Finance Stoch. (2008) 12: 149–172 https://doi.org/10.1007/s00780-007-0059-z I should like to thank Ralf Korn for alerting me to an error in the original paper [2]. The error concerns the threshold at which the yield curve in an affine short rate model changes from normal (strictly increasing) to humped (endowed with a single maximum). In particular, it is not true that this threshold is the same for the forward curve and for the yield curve, as claimed in [2]. Below, the correct mathematical expression for the threshold is given, supplemented with a self-contained and corrected proof.

Suggested Citation

  • Martin Keller-Ressel, 2018. "Correction to: Yield curve shapes and the asymptotic short rate distribution in affine one-factor models," Finance and Stochastics, Springer, vol. 22(2), pages 503-510, April.
    • Handle: RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-018-0359-5
    DOI: 10.1007/s00780-018-0359-5
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    Cited by:

    1. Martin Keller-Ressel & Felix Sachse, 2023. "State space decomposition and classification of term structure shapes in the two-factor Vasicek model," Papers 2303.13966, arXiv.org.
    2. Martin Keller-Ressel, 2019. "The classification of term structure shapes in the two-factor Vasicek model -- a total positivity approach," Papers 1908.04667, arXiv.org, revised Jun 2021.
    3. Martin Keller-Ressel & Felix Sachse, 2024. "Term structure shapes and their consistent dynamics in the Svensson family," Papers 2410.08808, arXiv.org.

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