Affine Term Structure Models and Measure-valued Processes

Abstract

Interest rate models with an affine term structure have a number of desirable properties which help to explain their appear. Prominent among them are Vasicek (1977), Cox-Ingersoll-Ross (1985) and Pearson-Sun (1994) short rate models. Characterizations of affine term structure model were obtained by Brown and Schaefer (1994) and Duffie and Kan (1996) for diffusion case. In this talk, we survey recent progress on characterization of affine term structure models based on general Markov short rate processes.