Affine term-structure models: A time-changed approach with perfect fit to market curves

Cheikh Mbaye and Frédéric Vrins

No 2019005, LIDAM Discussion Papers LFIN from Université catholique de Louvain, Louvain Finance (LFIN)

Keywords: model calibration; credit risk; stochastic intensity; jump-diffusions; term-structure models; time-change techniques (search for similar items in EconPapers)
Date: 2019-01-01
New Economics Papers: this item is included in nep-ore and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://dial.uclouvain.be/pr/boreal/fr/object/bore ... tastream/PDF_01/view (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to dial.uclouvain.be:443 (A connection attempt failed because the connected party did not properly respond after a period of time, or established connection failed because connected host has failed to respond.)

Related works:
Journal Article: Affine term structure models: A time‐change approach with perfect fit to market curves (2022)
Working Paper: Affine term structure models: a time-change approach with perfect fit to market curves (2021)
Working Paper: Affine term structure models: a time-changed approach with perfect fit to market curves (2020)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ajf:louvlf:2019005

Access Statistics for this paper

More papers in LIDAM Discussion Papers LFIN from Université catholique de Louvain, Louvain Finance (LFIN) Voie du Roman Pays 34, 1348 Louvain-la-Neuve (Belgium). Contact information at EDIRC.
Bibliographic data for series maintained by Séverine De Visscher ().