Analysis of Multifactor Affine Yield Curve Models
多因子仿射收益率曲线模型分析
In finance and economics much work has been done on the theoretical modeling and statistical estimation of the yield curve, defined as the relationship between (−1/τ) log pt(τ) and τ, where pt(τ) is the time t price of a zero-coupon bond with payoff 1 at maturity date t+τ. Of considerable current interest are models of the yield curve in which a collection of observed and latent factors determine the market price of factor risks, the stochastic discount factor, and the…