Affine term structure models: A time‐change approach with perfect fit to market curves

2022 ◽  
Author(s):  
Cheikh Mbaye ◽  
Frédéric Vrins
Keyword(s):  
Term Structure ◽  
Time Change ◽  
Affine Term Structure ◽  
Affine Term Structure Models ◽  
Term Structure Models

scholarly journals Nonlinear Kalman Filtering in Affine Term Structure Models

2014 ◽  
Vol 60 (9) ◽  
pp. 2248-2268 ◽  
Author(s):  
Peter Christoffersen ◽  
Christian Dorion ◽  
Kris Jacobs ◽  
Lotfi Karoui
Keyword(s):  
Term Structure ◽  
Kalman Filtering ◽  
Affine Term Structure ◽  
Affine Term Structure Models ◽  
Term Structure Models ◽  
Nonlinear Kalman Filtering
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