Affine term structure models have gained a lot of attention in the finance literature, which is due to their analytic tractability and statistical flexibility. The aim of this article is to present both , theoretical foundations and empirical aspects . Starting from the first short rate models , namely the Vasicek and the Cox-Ingersoll-Ross ones, we then give  an overview of some properties of affine processes and explain their relation to affine term structure models. Pricing and estimation techniques are eventually mentioned, showing how the analytic tractability of affine models can be exploited for practical purposes.
Affine term structure models have gained significant attention in the finance literature, mainly due to their analytical tractability and statistical flexibility. The aim of this article is to present both theoretical foundations as well as empirical aspects of the affine model class . Starting from the original one-factor short-rate models of Vasicek and Coxet al, we provide an overview of the properties of regular affine processes and explain their relationship to affine term structure models. Methods for securities pricing and for parameter estimation are also discussed, demonstrating how the analytical tractability of affine models can be exploited for practical purposes.
R
a lot of
significant
R
which is
mainly
R
analytic
analytical
R
, theoretical foundations and empirical aspects
theoretical foundations as well as empirical aspects of the affine model class
R
first short rate models , namely the
original one-factor short-rate models of
R
the Cox-Ingersoll-Ross ones, we then give
Cox
A
et al,
A
we provide
R
some properties of
the properties of regular
R
relation
relationship
R
Pricing and estimation techniques are eventually mentioned, showing how the analytic
Methods for securities pricing and for parameter estimation are also discussed, demonstrating how the analytical