This Thesis develops a new affine term structure model providing a short rate that is allowed to take negative values and is bounded from below by a randomly varying level. With this approach we conveniently represent many of the most relevant empirical features of the financial market that raised after the financial crisis of 2007-08, when the spread of negative rates became not only realistic but real.
An affine jump-diffusion model in the negative rates environment
Rossato, Chiara
2020/2021
Abstract
This Thesis develops a new affine term structure model providing a short rate that is allowed to take negative values and is bounded from below by a randomly varying level. With this approach we conveniently represent many of the most relevant empirical features of the financial market that raised after the financial crisis of 2007-08, when the spread of negative rates became not only realistic but real.File in questo prodotto:
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Utilizza questo identificativo per citare o creare un link a questo documento:
https://hdl.handle.net/20.500.12608/21915