Interest rate term structure modelling

被引：20

作者：

Schmidt, Wolfgang M. ^{[1
]}

机构：

[1] Ctr Pract Quantitat Finance, Frankfurt Sch Finance & Management, D-60314 Frankfurt, Germany

来源：

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 2011年 / 214卷 / 01期

关键词：

Finance; Interest rate; Term structure; Arbitrage pricing theory; DERIVATIVES;

D O I：

10.1016/j.ejor.2011.01.033

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

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. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：1 / 14

页数：14

共 26 条

[1]

Andersen L.B., 2010, INTEREST RATE MODELI, V1

[2]

Bjork T., 1998, ARBITRAGE THEORY CON

[3] The market model of interest rate dynamics [J].