英文标题：
《The classification of term structure shapes in the two-factor Vasicek
model -- a total positivity approach》
---
作者：
Martin Keller-Ressel
---
最新提交年份：
2021
---
英文摘要：
We provide a full classification of all attainable term structure shapes in the two-factor Vasicek model of interest rates. In particular, we show that the shapes normal, inverse, humped, dipped and hump-dip are always attainable. In certain parameter regimes up to four additional shapes can be produced. Our results apply to both forward and yield curves and show that the correlation and the difference in mean-reversion speeds of the two factor processes play a key role in determining the scope of attainable shapes. The key mathematical tool is the theory of total positivity, pioneered by Samuel Karlin and others in the 1950ies.
---
中文摘要：
我们在双因素Vasicek利率模型中提供了所有可达到的期限结构形状的完整分类。特别地，我们证明了正态、逆态、驼峰、下倾和驼峰下倾的形状总是可以得到的。在某些参数范围内，最多可以生成四个附加形状。我们的结果适用于正向曲线和屈服曲线，并表明两因素过程的相关性和平均回复速度的差异在确定可获得形状的范围方面起着关键作用。关键的数学工具是塞缪尔·卡林（SamuelKarlin）等人在50年代首创的完全积极性理论。
---
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
--

---
PDF下载：
-->