Erratum to: `Yield curve shapes and the asymptotic short rate distribution in affine one-factor models'
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.
- Publication:
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arXiv e-prints
- Pub Date:
- November 2017
- DOI:
- 10.48550/arXiv.1711.00737
- arXiv:
- arXiv:1711.00737
- Bibcode:
- 2017arXiv171100737K
- Keywords:
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- Quantitative Finance - Mathematical Finance
- E-Print:
- minor update