Hybrid term structure models
In this paper, we study the properties of so-called hybrid models in which the various components of a multi-dimensional vector describing the state of the market, are both affine and non-affine models. Such models allows to combine the strengths of both affine and non-affine models. Using example o...
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| Format: | Article |
| Language: | Belarusian |
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Belarusian State University
2018-05-01
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| Series: | Журнал Белорусского государственного университета: Математика, информатика |
| Subjects: | |
| Online Access: | https://journals.bsu.by/index.php/mathematics/article/view/884 |