Dubecq, Simon - Université Paris-Dauphine (Paris IX) - 2013
to the constraints put by no-arbitrage assumption. As a consequence, most of the no-arbitrage term structure models …-called "level" factor, whose variations have a uniform impact on the modeled yield curve, with the no-arbitrage assumptions. We … introduce in the third chapter a new class of arbitrage-free term structure factor models, which allows the limiting rate to be …