Market Price of Risk Specifications for Affine Models: Theory and Evidence

By Patrick Cheridito, Damir Filipovi'c. 2004

172 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/28ab693a4f5acd5a7f1ad594847f4814197360ad

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Citations in the corpus

Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility (2014, methodology): “The market prices of risk have the extended affine form of Cheridito, Filipovic, and Kimmel(2007), which is different than Le, Singleton, and Dai(2010).”
Estimating Shadow-Rate Term Structure Models with Near-Zero Yields (2013, methodology): “To facilitate empirical implementation, we use the extended affine risk premium developed by Cheridito et al. (2007). In the Gaussian framework, this (12)These calculations are available from the authors upon request.”
Discrete-Time Affineℚ Term Structure Models with Generalized Market Prices of Risk (2010, background): “3 With few exceptions, econometric specifications under P of continuous-time, affineQ DTSMs have chosen market prices of risk that preserve the affine structure under P (see, e.g., Dai and Singleton 2000; Duffee 2002; and Cheridito, Filipovic, and Kimmel 2007).”
A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives (2009, unknown): “…Wiener processes under Q and P through dW P i (t) = dW Q i (t) − W,i (t)dt, (40) d Z P i (t) = d Z Q i (t) − Z ,i (t)dt. (41) We apply the " extended affine " market price of risk specification suggested by Cheredito, Filipovic, and Kimmel (2007) and Collin-Dufresne, Goldstein, and Jones (2003).”
Properties of Foreign Exchange Risk Premiums (2012, methodology): “Λ follows Cheridito et al. (2007), imposing boundary-nonattainment in addition to the admissibility conditions from Duffie et al.”
Understanding Index Option Returns (2009, unknown): “We discuss the single-factor Black-Scholes model first, and then extensions incorporating stochastic volatility and jumps.”
Equivalent and absolutely continuous measure changes for jump-diffusion processes (2005, methodology): “For two applications in finance, see [2] and [1], which contain measure changes for multi-dimensional diffusion models and multi-dimensional jump-diffusion model with explosion and potential, respectively.”
Resolution of Policy Uncertainty and Sudden Declines in Volatility (2017, unknown): “As shown by Cheridito et al. (2007), the last procedure can also ensure lack of arbitrage as long as the existence and boundary non-attainment conditions are satisfied under both measures.”
Valuation and hedging of life insurance liabilities with systematic mortality risk (2006, background): “In addition, this can be viewed as an extension of the work of Dahl (2004), where market reserves were derived in the presence of systematic mortality risk, but without considering the hedging aspect. Utility indifference valuation and hedging has gained considerable interest over the last years as ”
Quadratic Variance Swap Models (2016, unknown): “It follows from Cheridito, Filipović, and Kimmel (2007) that the change of measure P Q is welldefined under these conditions.”
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models (2010, unknown): “Hence, the restrictions remain valid for the generalization to the ‘completely affine’ class proposed by Duffee (2002) and they also cover models which allow for a more general nonaffine drift under the physical measure, as proposed by Duarte (2004) and further analyzed in Cheridito et al. (2005). T”
Term Structure Models and the Zero Bound: An Empirical Investigation of Japanese Yields (2012, unknown): “Cheridito, Filipovic, and Kimmel (2007) avoid this problem by prohibiting x 1t and x 2t from attaining zero through the Feller condition (18).”
Exponentially affine martingales, affine measure changes and exponential moments of affine processes (2010, background): “In [11] and [4] it is shown that in the context of bivariate affine diffusions, any exponential local martingale is a true martingale.”
Variance Risk-Premium Dynamics: The Role of Jumps (2010, background): “This specification for ψ1(t) is called extended affine price of risk in Cheridito et al. (2007).”