Affine Term Structure Models

@inproceedings{Piazzesi2005AffineTS,
  title={Affine Term Structure Models},
  author={Monika Piazzesi},
  year={2005}
}
  • Monika Piazzesi
  • Published 2005
This chapter reports some recent successes in the studyof affine term structuremodels. After explaining the importance of understanding bond yields and the need for cross-equation restrictions, the paper describes the general technique of pricing bonds in continuous time. Section 3 explains how to specify the short rate, the dynamics of the state vector, and the risk premia in an affinemodel. Section 4 links them to the fundamentals of an economy, and Section 5 examines some famous affine… CONTINUE READING

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