Interest rate term structure modelling

Wolfgang M. Schmidt

European Journal of Operational Research, 2011, vol. 214, issue 1, 1-14

Abstract: This article surveys approaches to modelling the term structure of interest rates. Over the last few decades several frameworks have been developed, which are actively used in banks for the pricing and risk management of interest rate related products. There seems to be a need for an introductory overview of modelling approaches aimed at the yet unfamiliar reader with a quantitative background.

Keywords: Finance; Interest; rate; Term; structure; Arbitrage; pricing; theory (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:214:y:2011:i:1:p:1-14

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