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arxiv: 1711.00737 · v2 · pith:MAPN7BCPnew · submitted 2017-11-02 · 💱 q-fin.MF

Erratum to: `Yield curve shapes and the asymptotic short rate distribution in affine one-factor models'

classification 💱 q-fin.MF
keywords affinecurvemodelsone-factoryieldasymptoticdistributionerror
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This paper corrects an error in [Keller-Ressel, M. and Steiner T. "Yield curve shapes and the asymptotic short rate distribution in affine one-factor models." Finance and Stochastics 12.2 (2008): 149-172]. The error concerns the correct expression for the boundary between normal and humped yield curve behavior in affine one-factor short-rate models.

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