Term Structure Models with Parallel and Proportional Shifts

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Term Structure Models with Parallel and Proportional Shifts

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dc.contributor.author Armerin, Frederik en_US
dc.contributor.author Björk, Tomas en_US
dc.contributor.author Astrup Jensen, Bjarne en_US
dc.date.accessioned 2009-02-04T10:26:12Z
dc.date.available 2009-02-04T10:26:12Z
dc.date.issued 2005-10-28T00:00:00Z en_US
dc.identifier.isbn 8790705963 en_US
dc.identifier.uri http://hdl.handle.net/10398/7137
dc.description.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. en_US
dc.format.extent 23 s. en_US
dc.language eng en_US
dc.relation.ispartofseries Working paper;2005-005 en_US
dc.title Term Structure Models with Parallel and Proportional Shifts en_US
dc.type wp en_US
dc.accessionstatus modt05okt28 miel en_US
dc.contributor.corporation Copenhagen Business School. CBS en_US
dc.contributor.corporation Stockholm School of Economics en_US
dc.contributor.corporation Royal Institute of Technology en_US
dc.contributor.corporationshort Department of Finance en_US
dc.contributor.corporationshort Department of Mathematics en_US
dc.contributor.department Institut for Finansiering en_US
dc.contributor.departmentshort FI en_US
dc.contributor.departmentuk Department of Finance en_US
dc.contributor.departmentukshort FI en_US
dc.idnumber 8790705963 en_US
dc.publisher.city København en_US
dc.publisher.year 2005 en_US


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