Yield Curve Shapes and the Asymptotic Short Rate Distribution in Affine One-Factor Models
| dc.creator | Keller-Ressel, Martin | |
| dc.creator | Steiner, Thomas | |
| dc.date | 2007-04-04 | |
| dc.date | 2007-11-26 | |
| dc.date.accessioned | 2026-07-07T12:05:12Z | |
| dc.date.available | 2026-07-07T12:05:12Z | |
| dc.description | We consider a model for interest rates, where the short rate is given by a time-homogenous, one-dimensional affine process in the sense of Duffie, Filipovic and Schachermayer. We show that in such a model yield curves can only be normal, inverse or humped (i.e. endowed with a single local maximum). Each case can be characterized by simple conditions on the present short rate. We give conditions under which the short rate process will converge to a limit distribution and describe the limit distribution in terms of its cumulant generating function. We apply our results to the Vasicek model, the CIR model, a CIR model with added jumps and a model of Ornstein-Uhlenbeck type. | |
| dc.identifier | https://arxiv.org/abs/0704.0567 | |
| dc.identifier | http://arxiv.org/abs/0704.0567 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/208314 | |
| dc.subject | Pricing of Securities | |
| dc.subject | Probability | |
| dc.subject | 60J25; 91B28 | |
| dc.title | Yield Curve Shapes and the Asymptotic Short Rate Distribution in Affine One-Factor Models | |
| dc.type | text |