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Affine term structure model
An affine term structure model is a financial model that relates zero-coupon bond prices (i.e. the discount curve) to a spot rate model. It is…
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Vasicek model
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2018
2018
Ergodicity properties of affine term structure models and applications
C. Trabelsi
2018
Corpus ID: 56183192
The aim of this thesis is to study the ergodicity properties of affine term structure models as well as the practical…
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2015
2015
Arbitrage-Free Gaussian Affine Term Structure Model with Observable Factors
Gangjin Wang
2015
Corpus ID: 54219684
This paper analyzes a simple discrete-time affine multifactor model of the term structure of interest rates in which the pricing…
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2012
2012
A New N-factor Affine Term Structure Model of Futures Price for CO 2 Emissions Allowances : Empirical Evidence from the EU ETS
Kai Chang
,
S. Wang
,
Jiemin Huang
2012
Corpus ID: 45843893
In recent years, carbon emission markets have become liquid and promising markets within the European Union emissions trading…
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2010
2010
Non-Linear Filtering in the Estimation of a Term Structure Model of Interest Rates
Wu Shu
,
Y. Street
,
Nan Jing
2010
Corpus ID: 5362353
The methods of the class of Kalman filters have recently been used in the estimation of the term structure of interest rates…
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2007
2007
Risk management of a bond portfolio using options.
J. Annaert
,
G. Deelstra
,
Dries Heyman
,
M. Vanmaele
2007
Corpus ID: 26257648
2006
2006
An IntERPREtAtIOn OF An AFFInE tERM StRUCtURE MODEL FOR ChILE
Juan Marcelo
2006
Corpus ID: 55257237
This paper attempts to provide an economic interpretation of the factors that drive the movements of interest rates of bonds of…
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2006
2006
Estimating the Term Structure with Macro Dynamics in a Small Open Economy
Fousseni Chabi-Yo Bank
,
Jun Yang
2006
Corpus ID: 15156583
We study the joint dynamics of bond yields and macroeconomic variables in a New-Keynesian small open economy model complemented…
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2006
2006
Modelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective
D. Bolder
2006
Corpus ID: 59579843
Modelling term-structure dynamics is an important component in measuring and managing the exposure of portfolios to adverse…
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2004
2004
Why Can the Yield Curve Predict Output Growth, Inflation, and Interest Rates? An Analysis with an Affine Term Structure Model
Hibiki Ichiue
2004
Corpus ID: 59415438
The literature provides evidence that term spreads help predict output growth, inflation, and interest rates. This paper…
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2004
2004
Towards a Joint Characterization of Monetary Policy and the Dynamics of the Term Structure of Interest Rates
Ralf Fendel
Social Science Research Network
2004
Corpus ID: 54967578
The paper develops an empirical no-arbitrage Gaussian affine term structure model to explain the dynamics of the German term…
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