Levendorskii, Sergei - In: Stochastic Processes and their Applications 109 (2004) 2, pp. 225-261
Affine term structural models (ATSM) are widely applied for pricing of bonds and interest rate derivatives but the consistency of ATSM when the short rate, r, is unbounded from below remains essentially an open question. First, the standard approach to ATSM uses the Feynman-Kac theorem which is...