A classification of two-factor affine diffusion term structure models

Journal of Financial Econometrics

Volumn 4, Issue 1, 2006, Pages 31-52

  Gourieroux, Christian ^a,b   Sufana, Razvan ^a  

^a UNIVERSITY OF TORONTO   (Canada)

^b University of Toronto ^*  (France)

Author keywords

Affine term structure model; Domain restrictions; Parabolic dynamics; Wishart process

Indexed keywords

EID: 30744477710     PISSN: 14798409     EISSN: None     Source Type: Journal    
DOI: 10.1093/jjfinec/nbj003     Document Type: Article

References (11)

1. Cox, J., J. Ingersoll, and S. Ross. (1985). "A Theory of the Term Structure of Interest Rates." Econometrica 53, 385-407.
2. Dai, Q., and K. Singleton. (2000). "Specification Analysis of Affine Term Structure Models." Journal of Finance 55, 1943-1978.
3. Dai, Q., and K. Singleton. (2003). "Fixed Income Pricing." In: C. Constantinides, M. Harris, and R. Stulz (eds.), Handbook of Economics and Finance. Amsterdam: North Holland.
4. Duffie, D., D. Filipovic, and W. Schachermayer. (2003). "Affine Processes and Applications in Finance." Annals of Applied Probability 13, 984-1053.
5. Duffie, D., and R. Kan. (1996). "A Yield Factor Model of Interest Rates." Mathematical Finance 6, 379-406.
6. Gourieroux, C., and R. Sufana. (2003). "Wishart Quadratic Term Structure Models." CREF 03-10. Montreal: HEC.
7. Kunita, H. (1978). "Supports of Diffusion Processes and Controllability Problems." In: Proceedings of the International Symposium on Stochastic Differential Equations. New York: Wiley; 163-185.
8. Kunita, H. (1980). "On the Representation of Solutions of Stochastic Differential Equations." In: Seminaire de Probabilites XIV, Lecture Notes in Mathematics. Berlin: Springer-Verlag; 282-304.
9. Ikeda, N., and S. Watanabe. (1989). Stochastic Differential Equations and Diffusion Processes. Amsterdam: North-Holland.
10. Levendorskii, S. (2004). "Consistency Conditions for Affine Term Structure Models." Stochastic Processes and Their Applications 109, 225-261.
11. Leippold, M., and L. Wu. (2002). "Asset Pricing Under the Quadratic Class." Journal of Financial and Quantitative Analysis 37, 271-295.