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Affine term structure model 1 initial forward rate curve 1 mean reversion level 1 time-inhomogeous extension 1
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Kwon, Oh Kang 1
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Applied Mathematical Finance 1
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Mean Reversion Level Extensions of Time-Homogeneous Affine Term Structure Models
Kwon, Oh Kang - In: Applied Mathematical Finance 14 (2007) 4, pp. 291-302
It is well-known that time-homogeneous affine term structure models are incompatible with most observed initial forward rate curves. For the Vasicek (1977) and Cox et al. (1985) models, time-inhomogeneous extensions capable of fitting any given initial forward rate curve were introduced in Hull...
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