Staying at zero with affine processes : an application to term structure modelling

Alain Monfort, Fulvio Pegoraro, Jean-Paul Renne and Guillaume Roussellet

Year of publication:	2015
Authors:	Monfort, Alain ; Pegoraro, Fulvio ; Renne, Jean-Paul ; Roussellet, Guillaume
Publisher:	Paris : Banque de France
Subject:	Zero Lower Bound \| Affine Process \| Term-Structure Model \| Lift-Off probabilities \| Zinsstruktur \| Yield curve \| Niedrigzinspolitik \| Low-interest-rate policy \| Markov-Kette \| Markov chain \| Optionspreistheorie \| Option pricing theory

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