Erratum to: `Yield curve shapes and the asymptotic short rate distribution in affine one-factor models'
Abstract
This paper corrects an error in [Keller-Ressel, M. and Steiner T. "Yield curve shapes and the asymptotic short rate distribution in affine one-factor models." Finance and Stochastics 12.2 (2008): 149-172]. The error concerns the correct expression for the boundary between normal and humped yield curve behavior in affine one-factor short-rate models.
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