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Interest rate term structure modelling
- Source :
- European Journal of Operational Research. 214:1-14
- Publication Year :
- 2011
- Publisher :
- Elsevier BV, 2011.
-
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.
- Subjects :
- Information Systems and Management
Actuarial science
General Computer Science
business.industry
media_common.quotation_subject
Risk-free interest rate
Management Science and Operations Research
Industrial and Manufacturing Engineering
Interest rate
Investment theory
Risk analysis (engineering)
Modeling and Simulation
Covered interest arbitrage
Economics
Yield curve
Rational pricing
business
Rendleman–Bartter model
Risk management
media_common
Subjects
Details
- ISSN :
- 03772217
- Volume :
- 214
- Database :
- OpenAIRE
- Journal :
- European Journal of Operational Research
- Accession number :
- edsair.doi...........fcd5761de56bc4e42adeda966a2fb69d