Jumps in Bond Yields at Known Times
收藏NBER2014-12-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w20711
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资源简介：
We construct a no-arbitrage term structure model with jumps in the entire state vector at deterministic times but of random magnitudes. Jump risk premia are allowed for. We show that the model implies a closed-form representation of yields as a time-inhomogenous affine function of the state vector.
提供机构：
美国国家经济研究局
创建时间：
2014-12-01
