A Classification of Two-Factor Affine Diffusion Term Structure Models

Posted: 29 Feb 2008

See all articles by Razvan Sufana

Razvan Sufana

University of Toronto - Department of Economics

Abstract

Dai and Singleton (2000) introduced a typology of affine diffusion models when the domain of admissible values of the factors is an intersection of half planes and under some additional constraints on the parameters. This condition on the domain and the additional sufficient constraints are restrictive and can considerably diminish the practical interest of affine models. In this article we successfully address the research agenda sketched by Duffie, Filipovic, Schachermayer (2003, section 12.2, p. 1042). A systematic investigation is performed and our article provides a complete typology in the two-factor case, without prior restrictions on the domain and on the parameters.

Keywords: affine term structure model, domain restrictions, parabolic dynamics, Wishart process

Suggested Citation

Sufana, Razvan, A Classification of Two-Factor Affine Diffusion Term Structure Models. Journal of Financial Econometrics, Vol. 4, No. 1, pp. 31-52, 2006, Available at SSRN: https://ssrn.com/abstract=922914

Razvan Sufana

University of Toronto - Department of Economics ( email )

150 St. George Street
Toronto, Ontario M5S 3G7
Canada

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
775
PlumX Metrics