| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076550 | Insurance: Mathematics and Economics | 2013 | 10 Pages |
Abstract
We also show that if the short rate, in a risk-neutral setting, is given by a linear combination of generalized OU processes, the implied term structure can be expressed in terms of the cumulant generating functions. This makes it possible to quite easily see what kind of term structures can be generated with a particular short rate dynamics.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Patrik Andersson, Andreas N. Lagerås,