Correction to: Yield curve shapes and the asymptotic short rate distribution in affine one-factor models

Martin Keller-Ressel ()
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Martin Keller-Ressel: TU Dresden

Finance and Stochastics, 2018, vol. 22, issue 2, No 9, 503-510

Abstract: Correction to: Finance Stoch. (2008) 12: 149–172 https://doi.org/10.1007/s00780-007-0059-z I should like to thank Ralf Korn for alerting me to an error in the original paper [2]. The error concerns the threshold at which the yield curve in an affine short rate model changes from normal (strictly increasing) to humped (endowed with a single maximum). In particular, it is not true that this threshold is the same for the forward curve and for the yield curve, as claimed in [2]. Below, the correct mathematical expression for the threshold is given, supplemented with a self-contained and corrected proof.

Date: 2018
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DOI: 10.1007/s00780-018-0359-5

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