Template-Type:ReDIF-Paper 1.0  
Title: A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates
Author-Name: Schloegl, Erik 
Author-Name: Lutz Schloegl
Classification-JEL: G13
Keywords: term structure of interest rates, fixed income derivatives, square root process, chi-square
	distribution
Abstract: This paper presents the one- and the multifactor versions of a term structure model in which the
	factor dynamics are given by Cox/Ingersoll/Ross (CIR) type "square root" diffusions with piecewise constant
	parameters. The model is fitted to initial term structures given by a finite number of data points, interpolating
	endogenously. Closed form and near-closed form solutions for a large class of fixed income contingent claims
	are derived in terms of a noncentral chi-square distribution whose noncentrality parameter is in turn
	noncentral chi-square distributed. Implementation details on this distribution are given in the appendix.
Length: pages
Creation-Date: 1997-11
Revision-Date: 
Handle: RePEc:bon:bonsfb:396
File-URL: http://www.wiwi.uni-bonn.de/bgsepapers/bonsfb/bonsfb396.pdf
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