A comparison of diffusion models of the term structure

Chris Strickland

The European Journal of Finance, 1996, vol. 2, issue 1, 103-123

Abstract: A number of different continuous time approaches that have been developed to model the term structure of interest rates are examined. These techniques span the interest rate literature over the last 20 years or so, and are the most commonly used among both academics and practitioners. We view this paper as a reference for the different term structure models, aiming to bring together the three most commonly used approaches, emphasizing their differences, analysing their respective advantages and disadvantages, and with explicit representations where they exist for prices of discount bonds.

Date: 1996
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DOI: 10.1080/135184796337625

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