Term Structure Models with Parallel and Proportional Shifts

OPEN ARCHIVE

Union Jack
Dannebrog

Term Structure Models with Parallel and Proportional Shifts

Show full item record

Title: Term Structure Models with Parallel and Proportional Shifts
Author: Armerin, Frederik; Björk, Tomas; Astrup Jensen, Bjarne
Abstract: 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
Date: 2005-10-28

Creative Commons License This work is licensed under a Creative Commons License.

Files Size Format View
samlet_wp_2005_5_bjarne_astrup_jensen.pdf 164.9Kb PDF View/Open

This item appears in the following Collection(s)

Show full item record