Affine term structure models in which the short rate follows a jump-diffusion process are difficult to solve, and the parameters of such models are hard to esti

"Firms active in OTC derivative markets increasingly use margin agreements to reduce counterparty credit risk. Making several simplifying assumptions, I use bot

Affine term structure models in which the short rate follows a jump-diffusion process are difficult to solve. Without analytical answers to the partial differen

In this paper, we propose a unifying affine-quadratic jump-diffusion framework for the term structure dynamics. The model incorporates both stochastic volatilit

In this paper, we propose a unifying class of affine-quadratic term structure models (AQTSMs) in the general jump-diffusion framework. Extending existing term s