Interest rate term structure modelling

DOI10.1016/j.ejor.2011.01.033zbMath1218.91161OpenAlexW2095424210MaRDI QIDQ2275618

Wolfgang M. Schmidt

Publication date: 9 August 2011

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2011.01.033

zbMATH Keywords

interest ratefinanceterm structurearbitrage pricing theory

Mathematics Subject Classification ID

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

Related Items (11)

Stochastic string models with continuous semimartingales ⋮ A cyclical square-root model for the term structure of interest rates ⋮ Valuation of caps and swaptions under a stochastic string model ⋮ A noisy principal component analysis for forward rate curves ⋮ A tractable interest rate model with explicit monetary policy rates ⋮ Kriging of financial term-structures ⋮ Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective ⋮ Long horizon predictability: an asset allocation perspective ⋮ Affine model of inflation-indexed derivatives and inflation risk premium ⋮ Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling ⋮ Pricing and risk management of interest rate swaps

Cites Work

• Interest rate models -- theory and practice. With smile, inflation and credit
• Stochastic calculus for finance. II: Continuous-time models.
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• The Market Model of Interest Rate Dynamics
• Financial Derivatives in Theory and Practice
• Changes of numéraire, changes of probability measure and option pricing
• An equilibrium characterization of the term structure
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