3 papers
q-fin.MF2026
Term structure shapes in the Hull-White model with Svensson-parameterized initial yield curves
Felix Sachse
We examine the shapes attainable by the forward and yield curve in the Hull-White model with Svensson-parameterized initial yield curves. For Nelson-Siegel-parameterized initial yi…
q-fin.MF2024
Term structure shapes and their consistent dynamics in the Svensson family
Martin Keller-Ressel, Felix Sachse
We examine the shapes attainable by the forward- and yield-curve in the widely-used Svensson family, including the Nelson-Siegel and Bliss subfamilies. We provide a complete classi…
q-fin.MF2023
State space decomposition and classification of term structure shapes in the two-factor Vasicek model
Martin Keller-Ressel, Felix Sachse
Using the concept of envelopes we show how to divide the state space $\RR^2$ of the two-factor Vasicek model into regions of identical term-structure shape. We develop a formula fo…