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
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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)
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