Modeling the Term Structure of Interest Rates: A Review of the Literature

DOI10.1561/0500000032zbMath1214.91001OpenAlexW3122649161MaRDI QIDQ3069054

Rajna Gibson, Francois-Serge Lhabitant, Denis Talay

Publication date: 24 January 2011

Published in: Foundations and Trends® in Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1561/0500000032

zbMATH Keywords

Heath-Jarrow-Morton modelinterest rateterm structurediscrete time modelCox-Ingersoll-Ross processMarkovian marketsHJM-model

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (3)

Model misspecification analysis for bond options and Markovian hedging strategies ⋮ Liquidity Costs: A New Numerical Methodology and an Empirical Study ⋮ PRICING INTEREST RATE DERIVATIVES UNDER MONETARY CHANGES

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