Monfort, Alain; Gouriéroux, Christian - Université Paris-Dauphine (Paris IX) - 2011
The Gaussian Affine Term Structure Model (ATSM) introduced by Duffie and Kan is often used in finance to price … relationships are not observed in practice. In this paper, we introduce a new class of affine term structure models, called Bilinear … Term Structure Model (BTSM). This extension breaks down the deterministic relationships between rates in structural factor …