Høg, Esben; Frederiksen, Per; Schiemert, Daniel - Ehrvervøkonomisk Institut, Institut for Økonomi - 2008
This paper deals with dynamic term structure models (DTSMs) and proposes a new way to handle the limitation of the classical affine models. In particular, the paper expands the exibility of the DTSMs by applying generalized Brownian motions with dependent increments as the governing force of the...