Term Structure Models with Parallel and Proportional Shifts

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Term Structure Models with Parallel and Proportional Shifts

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Titel: Term Structure Models with Parallel and Proportional Shifts
Forfatter: Armerin, Frederik; Björk, Tomas; Astrup Jensen, Bjarne
Resume: We investigate the possibility of an arbitrage free model for the term structure of interest rates where the yield curve only changes through a parallel shift. We consider HJM type forward rate models driven by a multidimensionalWiener process as well as by a general marked point process. Within this general framework we show that there does indeed exist a large variety of nontrivial parallel shift term structure models, and we also describe these in detail. We also show that there exists no nontrivial flat term structure model. The same analysis is repeated for the similar case, where the yield curve only changes through proportional shifts. Key words: bond market, term structure of interest rates, flat term structures.
URI: http://hdl.handle.net/10398/7137
Dato: 2005-10-28

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