The last decades have seen the development of a profusion of theoretical models of the term
structure of interest rates. The aim of this survey is to provide a comprehensive review of …

The paper presents a review of interest–rate term structure modelling from the early short–
rate–based models to the current developments. The emphasis of the paper is on the use of …

The book is a systematic summary of modern term structure theories and how interest rate
contingent claims are priced under such theories. This is the first book on such an attempt …

Short description of the book... Relation to other books... Books emphasizing descriptions of
markets and products: Fabozzi (2000), van Horne (2001). Books emphasizing modern …

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 …

We consider a new approach for estimating the coefficients of the term structure equation in
two‐factor models. This approach is based on the fact that the risk‐neutral drifts of the factors …

Das Management von Zinsänderungsrisiken ist eines der dringendsten Probleme, dem
Finanzintermediäre derzeit gegenüber stehen. Zur Integration von Optionspositionen …

This study examines the performance of the Longstaff–Schwartz model of interest rates from
a narrowly specified interest rate risk-management perspective, namely the estimation of a …

This dissertation uses a newly available Treasury Inflation-Indexed Securities (TIIS) dataset
to investigate the term structure of real interest rates. The Fisher equation states that the …

In this paper, we examine a two-factor option pricing model, that could be used within a
system to manage the total interest rate position of a financial institution. We deduce the …