Market price of risk specifications for affine models: Theory and evidence

Journal of Financial Economics

Volumn 83, Issue 1, 2007, Pages 123-170

  Cheridito, Patrick ^a   Filipović, Damir ^b   Kimmel, Robert L ^c  

^a Princeton University   (United States)

^b UNIVERSITY OF MUNICH   (Germany)

^c OHIO STATE UNIVERSITY   (United States)

Author keywords

Affine yield models; Market price of risk; No arbitrage pricing; Term structure

Indexed keywords

EID: 33845288581     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2005.09.008     Document Type: Article

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