Grasselli, Martino; Tebaldi, Claudio - In: Economic Notes 33 (2004) 3, pp. 359-374
In this paper, we analyse the Affine Term Structure Model (ATSM) proposed by Balduzzi, Das, Foresi and Sundaram (BDFS, 1996) and provide the closed-form expression of the bond price. In addition, we extend the notion of Impulse Response Function to the class of ATSM. We show that it is closely...
