Publication

Affine Models

2008
Book Chapters

Abstract

A fine term structure models have gained significant attention in the finance literature, mainly due to their analytical tractability and statistical flexibility. The aim of this article is to present both theoretical foundations as well as empirical aspects of the affine model class. Starting from the original one-factor short-rate models of Vasicek and Cox et al, we provide an overview of the properties of regular affine processes and explain their relationship to affine term structure models. Methods for securities pricing and for parameter estimation are also discussed, demonstrating how the analytical tractability of affine models can be exploited for practical purposes.

Official source

https://infoscience.epfl.ch/entities/publication/44b7dbec-7bec-4af6-a33c-96ddafce11de

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2008
Book Chapters

Abstract

Official source

https://infoscience.epfl.ch/entities/publication/44b7dbec-7bec-4af6-a33c-96ddafce11de

About this result

Related concepts (32)

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Estimation theory is a branch of statistics that deals with estimating the values of parameters based on measured empirical data that has a random component. The parameters describe an underlying physical setting in such a way that their value affects the distribution of the measured data. An estimator attempts to approximate the unknown parameters using the measurements.

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