Discount Models

Discount is the difference between the face value of a bond and its present value. I propose an arbitrage-free dynamic framework for discount models, which provides an alternative to the Heath–Jarrow–Morton framework for forward rates. I derive general consistency conditions for factor models, and discuss affine term structure models in particular. There are several open problems, and I outline possible directions for further research

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Year of publication:	[2023]
Authors:	Filipović, Damir
Publisher:	[S.l.] : SSRN

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Extent:	1 Online-Ressource (13 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Finance and Stochastics Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 30, 2023 erstellt
Other identifiers:	10.2139/ssrn.4466745 [DOI]
Classification:	C32 - Time-Series Models ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014354290