deploy: 1f84afd

Author: mmcky

_notebooks/affine_risk_prices.ipynb

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     "$$\n",
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     "\n",
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   },
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    "source": [
     "# Affine Models of Asset Prices"
    ]
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   {
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    "source": [
     "## Overview\n",
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   },
   {
    "cell_type": "markdown",
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    "source": [
     "## The model"
    ]
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   {
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    "source": [
     "### State dynamics and short rate\n",
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   {
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     "### Properties of the SDF\n",
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   },
   {
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    "source": [
     "## Pricing risky assets"
    ]
   },
   {
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    "source": [
     "### Lognormal returns\n",
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     "### Expected excess returns\n",
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   {
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    "source": [
     "## Affine term structure of yields\n",
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   {
    "cell_type": "markdown",
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    "source": [
     "### Bond prices\n",
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   },
   {
    "cell_type": "markdown",
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    "metadata": {},
    "source": [
     "### Exponential affine prices\n",
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   },
   {
    "cell_type": "markdown",
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    "source": [
     "### Yields\n",
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   },
   {
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    "source": [
     "## Python implementation\n",
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   },
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    "source": [
     "### A one-factor Gaussian example\n",
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   },
   {
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    "source": [
     "### Yield curve shapes\n",
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     "The model generates upward-sloping, flat, and inverted yield curves as the short\n",
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   },
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    "source": [
     "### Short rate dynamics"
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    "source": [
     "### A two-factor model\n",
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    "source": [
     "## Risk premiums\n",
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    "source": [
     "## Risk-neutral probabilities\n",
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   },
   {
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     "### The risk-neutral VAR\n",
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   {
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     "### Verification via risk-neutral pricing\n",
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     "The analytical and Monte Carlo bond prices agree closely, validating the\n",
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    "source": [
     "## Distorted beliefs\n",
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   {
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    "source": [
     "### The subjective measure\n",
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   },
   {
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    "source": [
     "### Pricing under distorted beliefs\n",
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    "source": [
     "### Numerical illustration"
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    "source": [
     "When expert beliefs are overly persistent ($ \\hat\\phi $ has larger eigenvalues than\n",
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   },
   {
    "cell_type": "markdown",
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    "source": [
     "## The bond price recursion\n",
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   },
   {
    "cell_type": "markdown",
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    "metadata": {},
    "source": [
     "## Concluding remarks\n",
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   }
  ],
  "metadata": {
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+  "date": 1772867702.0173764,
   "filename": "affine_risk_prices.md",
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