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A YIELD-FACTOR MODEL OF INTEREST RATES (1996)

Duffie, Darrell ; Kan, Rui

Oxford, UK : Blackwell Publishing Ltd

Mathematical finance 6 (1996), S. 0

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ISSN: 1467-9965

Source: Blackwell Publishing Journal Backfiles 1879-2005

Topics: Mathematics , Economics

Notes: This paper presents a consistent and arbitrage-free multifactor model of the term structure of interest rates in which yields at selected fixed maturities follow a parametric muitivariate Markov diffusion process with “stochastic volatility.” the yield of any zero-coupon bond is taken to be a maturity-dependent affine combination of the selected “basis” set of yields. We provide necessary and sufficient conditions on the stochastic model for this affine representation. We include numerical techniques for solving the model, as well as numerical techniques for calculating the prices of term-structure derivative prices. the case of jump diffusions is also considered.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00123.x

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