1,721,096 research outputs found
Bond price and impulse response function for the Balduzzi, Das, Foresi and Sundaram (1996) model
No full textIn this paper, we analyse the Affine Term Structure Model (ATSM) proposed by Balduzzi, Das, Foresi and Sundaram (BDFS, 1996) and provide the closed-form expression of the bond price. In addition, we extend the notion of Impulse Response Function to the class of ATSM. We show that it is closely related to the duration measure, and we compute it explicitly in the BDFS model. © Banca Monte dei Paschi di Siena SpA, 2004
Symmetry Breaking Effects on Equilibria and Time Dependent Regimes in Adaptive Lotka -Volterra Systems
No full textSolvable Affine Term Structure Models
No full textAn Affine Term Structure Model (ATSM) is said to be solvable if the pricing problem
has an explicit solution, i.e., the corresponding Riccati ordinary differential equations
have a regular globally integrable flow. We identify the parametric restrictions which
are necessary and sufficient for an ATSM with continuous paths, to be solvable in a
state space , where , the domain of positive factors, has the geometry of a
symmetric cone. This class of state spaces includes as special cases those introduced by
Duffie and Kan (1996), and Wishart termstructure processes discussed by Gourieroux
and Sufana (2003). For all solvable models we provide the procedure to find the explicit
solution of the Riccati ODE
Bond price and impulse response analysis in the Balduzzi, Das, Foresi and Sunradam (1996) model
No full text
Effects of ecological differentiation on Lotka-Volterra systems for species with behavioral adaptation and variable growth rates
No full text
- …
