勘误：'仿射单因子模型中的收益率曲线形状与渐近短期利率分布'
数理金融
2018-02-15 v2
摘要
本文修正了 [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] 中的一处错误。该错误涉及仿射单因子短期利率模型中正常与驼峰型收益率曲线行为之间边界的正确表达式。
引用
@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}
}
备注
minor update