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A Type of HJM Based Affine Model: Theory and Empirical Evidence
Affine Term Structure Model HJM Finite Dimensional Realization Linear Realization Theory State Space Framework Macro-economy
2011/4/2
In this paper a type of Heath, Jarrow and Morton (1992) (HJM) based affine model is derived theoretically. This type of affine model is obtained by applying Linear Realization Theory to construct Fini...
Parsimonious HJM Modelling for Multiple Yield-Curve Dynamics
HJM Modelling Multiple Yield-Curve Dynamics
2010/12/13
For a long time interest-rate models were built on a single yield curve used both for discounting and forwarding. However, the crisis that has affected financial markets in the last years led market p...