Consider the short rate model Show that this model is a member of the affine term structure

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Consider the short rate model

Show that this model is a member of the affine term structure class and derive the ATS-functions A(t, T) and B(t, T).

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A First Course in Quantitative Finance

ISBN: 978-1108419574

1st edition

Authors: Thomas Mazzoni

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Question Posted: Feb 19, 2020 10:12 AM

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Consider the short rate model Show that this model is a member of the affine term structure

Question:

dr(1) = e "dt + o,dW(t)

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Shortterm marketing also known as operational or ...View the full answer

A First Course in Quantitative Finance

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