2014
DOI: 10.14495/jsiaml.6.17
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Affine term structure as multi-soliton

Abstract: In the real market, the term structure of forward rates exhibits some humps. The quadratic Gaussian term structure models or affine term structure models well explain this phenomena. In this research, we give a new insight, where we understand the humps as multi-soliton that are related to KdV solitons.

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