Zero coupon bonds and affine term structures: Reconsidering the one-factor model

Insurance: Mathematics and Economics

Volumn 23, Issue 1, 1998, Pages 85-90

  Alvarez, Luis H R ^a  

^a UNIVERSITY OF TURKU   (Finland)

Author keywords

Affine term structure; Linear diffusions; Riccatti's equation; Value of a zero coupon bond with maturity T

Indexed keywords

EID: 0032585127     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(98)00027-4     Document Type: Article

References (11)

1. Björk, T., 1997a. Arbitrage Theory In Continuous Time. Manuscript, Department of Finance, Stockholm School of Economics, Sweden.
2. Björk, T., 1997b. Interest rate theory. In: Runggaldier, W.J. (Ed.), Financial Mathematics. CIME Lectures 1996, Springer Lecture Notes in Mathematics, Germany.
3. Borodin, A., Salminen, P., 1996. Handbook on Brownian Motion - Facts and Formulae. Birkhauser, Basel.
4. Chung, K.L., Zhao, Z., 1995. From Brownian Motion to Schrödinger's Equation. Springer Series of Comprehensive Studies in Mathematics, Germany.
5. Cox, J.C., Ingersoll, J.E., Ross, S.A., 1985. A theory of the term structure of interest rates. Econometrica 53, 385-407.
6. Duffie, D., 1996. Dynamic Asset Pricing Theory, 2nd ed., Princeton Universitery Press, Princeton, NJ.
7. Duffie, D., Kan, R., 1996. A yield factor model of interest rates. Mathematical Finance 6 (4), 379-406.
8. Karlin, S., Taylor, H., 1981. A Second Course in Stochastic Processes. Academic Press, Orlando.
9. Longstaff, F.A., 1993. The valuation of options on coupon bonds. Journal of Banking and Finance 17, 27-42.
10. Zwillinger, D., 1989. Handbook of Differential Equations. Academic Press, New York.
11. Øksendal, B., 1998. Stochastic Differential Equations: An Introduction with Applications, 5th ed., Springer, Berlin.