Statements (18)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:logic
|
| gptkbp:appliesTo |
derivative pricing
bond pricing |
| gptkbp:category |
term structure model
|
| gptkbp:characterizedBy |
affine relationship between yields and state variables
|
| gptkbp:describes |
evolution of interest rates over time
|
| gptkbp:form |
state variables enter linearly in drift and diffusion
|
| https://www.w3.org/2000/01/rdf-schema#label |
affine term structure model
|
| gptkbp:includes |
gptkb:Cox-Ingersoll-Ross_model
gptkb:Vasicek_model Duffie-Kan model |
| gptkbp:relatedTo |
gptkb:Heath-Jarrow-Morton_framework
|
| gptkbp:studiedBy |
gptkb:Darrell_Duffie
Rui Kan |
| gptkbp:usedFor |
modeling interest rates
|
| gptkbp:usedIn |
finance
|
| gptkbp:bfsParent |
gptkb:Hull-White_model
|
| gptkbp:bfsLayer |
7
|