Pitfalls in Smoothing Interest Rate Term Structure Data: Equilibrium Models and Spline Approximations

1984 ◽  
Vol 19 (3) ◽  
pp. 253 ◽  
Author(s):  
Gary S. Shea
Keyword(s):  
Interest Rate ◽  
Term Structure ◽  
Structure Data ◽  
Equilibrium Models ◽  
Interest Rate Term Structure

Fuzzy Interest Rate Term Structure Equation

2020 ◽  
Vol 22 (3) ◽  
pp. 999-1006
Author(s):  
Le Bo ◽  
Cuilian You
Keyword(s):  
Interest Rate ◽  
Term Structure ◽  
Structure Equation ◽  
Interest Rate Term Structure

Entropy and information in the interest rate term structure

2002 ◽  
Vol 2 (1) ◽  
pp. 70-80 ◽  
Author(s):  
D C Brody ◽  
L P Hughston
Keyword(s):  
Interest Rate ◽  
Term Structure ◽  
Interest Rate Term Structure ◽  
The Interest Rate

On the Information in the Interest Rate Term Structure and Option Prices

2004 ◽  
Vol 7 (2) ◽  
pp. 99-127 ◽  
Author(s):  
Frank de Jong ◽  
Joost Driessen ◽  
Antoon Pelsser
Keyword(s):  
Interest Rate ◽  
Term Structure ◽  
Option Prices ◽  
Interest Rate Term Structure ◽  
The Interest Rate

BOND MARKET MODEL

2006 ◽  
Vol 09 (04) ◽  
pp. 577-596 ◽  
Author(s):  
ROBERTO BAVIERA
Keyword(s):  
Interest Rate ◽  
Term Structure ◽  
Bond Market ◽  
Market Model ◽  
Structure Model ◽  
Over The Counter ◽  
Term Structure Model ◽  
Libor Market Model ◽  
Bond Options ◽  
Interest Rate Term Structure

We describe the Bond Market Model, a multi-factor interest rate term structure model, where it is possible to price with Black-like formulas the three classes of over-the-counter plain vanilla options. We derive the prices of caps/floors, bond options and swaptions. A comparison with Libor Market Model and Swap Market Model is discussed in detail, underlining advantages and limits of the different approaches.

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