英文标题：
《Consistency of extended Nelson-Siegel curve families with the Ho-Lee and
Hull and White short rate models》
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作者：
Patricia Kisbye and Karem Meier
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最新提交年份：
2017
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英文摘要：
Nelson and Siegel curves are widely used to fit the observed term structure of interest rates in a particular date. By the other hand, several interest rate models have been developed such their initial forward rate curve can be adjusted to any observed data, as the Ho-Lee and the Hull and White one factor models. In this work we study the evolution of the forward curve process for each of this models assuming that the initial curve is of Nelson-Siegel type. We conclude that the forward curve process produces curves belonging to a parametric family of curves that can be seen as extended Nelson and Siegel curves.
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中文摘要：
Nelson和Siegel曲线被广泛用于拟合特定日期观察到的利率期限结构。另一方面，已经开发了几种利率模型，如Ho-Lee和Hull-White单因素模型，其初始远期利率曲线可以根据任何观察数据进行调整。在这项工作中，假设初始曲线为Nelson-Siegel类型，我们研究了每个模型的正向曲线过程的演变。我们得出结论，正向曲线过程产生的曲线属于一个参数曲线族，可以看作是扩展的Nelson和Siegel曲线。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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