Discrete-Time Affineℚ Term Structure Models with Generalized Market Prices of Risk

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Subfields: Finance

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Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013, unknown): “Now, it follows from Le, Singleton, and Dai (2010) that P nit = exp(−Ani − BniPt), and further that EP[P ni−1t+1 /P ni t ] = exp{Bni−1[(K Q 0 −KP0 ) + (K Q P −K P P)Zt] + rt}.”
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).”
Generalized Transform Analysis of Affine Processes and Applications in Finance (2012, unknown): “In general, the discrete-time family of processes given by (A12– A13) is quite flexible and allows for jump-type processes and time-varying covariance (see, e.g., Le, Singleton, and Dai 2010).”
Density Approximations for Multivariate Affine Jump-Diffusion Processes (2011, unknown): “4In discrete-time, Le et al. (2010) show how Q-affine models may be constructed to exhibit non-affine dynamics under P. econometric inference for financial models, because in applications one typically needs to evaluate, both, the transition densities themselves, as well as integrals of payoff…”