59
Views
1
CrossRef citations to date
0
Altmetric
Original Articles

Arbitrary Initial Term Structure within the CIR Model: A Perturbative Solution

&
Pages 143-153 | Received 29 Jan 2004, Published online: 02 Feb 2007

References

  • Andersen , T. and Lund , J. 1997 . Estimating continuous‐time stochastic volatility models of the short‐term interest rate . Journal of Econometrics , 77 : 343 – 377 .
  • Chan , K. 1992 . An empirical comparison of alternative models of the short‐term interest rate . Journal of Finance , 47 (3) : 1209 – 1227 .
  • Cox , J. 1985a . An intertemporal general equilibrium model of asset prices . Econometrica , 53 : 363 – 384 .
  • Cox , J. 1985b . A theory of the term structure of interest rates . Econometrica , 53 : 385 – 406 .
  • Duffie , D. and Kan , R. 1996 . A yield‐factor model of interest rates . Mathematical Finance , 6 (4) : 379 – 406 .
  • Duffie , D. 2002 . Transform analysis and asset pricing for affine junp‐diffusions . Econometrica , 68 : 1343 – 1376 .
  • Gentile , M. and Renò , R. 2005 . Specification analysis of diffusion models for the Italian short rate . Economic Notes , 34 (4) : 51 – 83 .
  • Heath , D. 1990 . Bond pricing and the term structure of interest rates: a discrete time approximation . Journal of Financial and Quantitative Analysis , 25 : 419 – 440 .
  • Heath , D. 1992 . Bond pricing and the term structure of interest rates: a new methodology for contingent claim valuation . Econometrica , 60 : 77 – 105 .
  • Hull , J. and White , A. 1990 . Pricing interest rate derivative securities . Review of Financial Studies , 3 : 573 – 592 .
  • Hull , J. and White , A. 1993 . One factor interest rate models and the valuation of interest rate derivative securities . Journal of Financial and Quantitative Analysis , 28 : 235 – 254 .
  • Jeffrey , A. 1995 . Single factor Heath‐Jarrow‐Morton term structure models based on Markov spot interest rate dynamics . Journal of Financial and Quantitative Analysis , 30 (4) : 619
  • Litterman , R. and Scheinkman , J. 1991 . Common factors affecting bond returns . Journal of Fixed Income , 1 (1) : 54 – 61 .
  • Mari , C. 2003 . Single factor models with Markovian spot interest rate: an analytical treatment . Decisions in Economics and Finance , 26 (1) : 39 – 52 .
  • Mari , C. and Renò , R. 2005 . Credit risk analysis of mortgage loans: an application to the Italian market . European Journal of Operational Research , 163 : 83 – 93 .
  • Nelson , C. and Siegel , A. 1987 . Parsimonious modeling of yield curves . Journal of Business , 60 (4) : 473 – 489 .
  • Singleton , K. 2001 . Estimation of affine asset pricing models using the empirical characteristic function . Journal of Econometrics , 102 : 111 – 141 .
  • Vasicek , O. 1977 . An equilibrium characterization of the term structure . Journal of Financial Economics , 5 : 177 – 188 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.