Erratum to: `Yield curve shapes and the asymptotic short rate distribution in affine one-factor models'
Mathematical Finance
2018-02-15 v2
Abstract
This paper corrects an error in [Keller-Ressel, M. and Steiner T. "Yield curve shapes and the asymptotic short rate distribution in affine one-factor models." Finance and Stochastics 12.2 (2008): 149-172]. The error concerns the correct expression for the boundary between normal and humped yield curve behavior in affine one-factor short-rate models.
Cite
@article{arxiv.1711.00737,
title = {Erratum to: `Yield curve shapes and the asymptotic short rate distribution in affine one-factor models'},
author = {Martin Keller-Ressel},
journal= {arXiv preprint arXiv:1711.00737},
year = {2018}
}
Comments
minor update