Erratum to: `Yield curve shapes and the asymptotic short rate distribution in affine one-factor models'

TL;DR

This paper corrects a key error in a previous study regarding the boundary conditions for yield curve shapes in affine one-factor models, clarifying the conditions that determine different yield curve behaviors.

Contribution

It provides the corrected expression for the boundary between normal and humped yield curve behaviors in affine one-factor short-rate models.

Findings

Corrected the boundary expression for yield curve shapes

Clarified conditions for normal and humped yield curves

Enhanced understanding of 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.