CONDITIONS FOR CONSISTENT EXPONENTIAL-POLYNOMIAL FORWARD RATE PROCESSES WITH MULTIPLE NONTRIVIAL FACTORS

Emmanuel Sharef () and Damir Filipović ()
Additional contact information
Emmanuel Sharef: Department of Operations Research and Industrial Engineering, Cornell University, Rhodes Hall, Ithaca, NY 14850, USA
Damir Filipović: Federal Office of Private Insurance, Friedheimweg 14, 3003 Bern, Switzerland

International Journal of Theoretical and Applied Finance (IJTAF), 2004, vol. 07, issue 06, 685-700

Abstract: We present conditions that allow consistent exponential-polynomial forward curve models with two exponential terms to have more than one nontrivial factor. This result leads to seven- and nine-parameter extensions of the Svensson model, for which the consistency conditions allow for two and three stochastic parameters respectively.

Keywords: Consistent forward curves; exponential-polynomial; Svensson family (search for similar items in EconPapers)
Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219024904002608
Access to full text is restricted to subscribers

Related works:
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:wsi:ijtafx:v:07:y:2004:i:06:n:s0219024904002608

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219024904002608

Access Statistics for this article

International Journal of Theoretical and Applied Finance (IJTAF) is currently edited by L P Hughston

More articles in International Journal of Theoretical and Applied Finance (IJTAF) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().