Chapter 8. Dynamic Term Structure Models

  1. P. J. Hunt1 and
  2. J. E. Kennedy2

Published Online: 28 JAN 2005

DOI: 10.1002/0470863617.ch8

Financial Derivatives in Theory and Practice

Financial Derivatives in Theory and Practice

How to Cite

Hunt, P. J. and Kennedy, J. E. (2004) Dynamic Term Structure Models, in Financial Derivatives in Theory and Practice, John Wiley & Sons, Ltd, Chichester, UK. doi: 10.1002/0470863617.ch8

Author Information

  1. 1

    WestLB AG, London, UK

  2. 2

    University of Warwick, UK

Publication History

  1. Published Online: 28 JAN 2005
  2. Published Print: 26 MAY 2004

Book Series:

  1. Wiley Series in Probability and Statistics

Book Series Editors:

  1. Walter A. Shewhart and
  2. Samuel S. Wilks

ISBN Information

Print ISBN: 9780470863589

Online ISBN: 9780470863619

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Keywords:

  • finite-asset theory;
  • dynamic term structure models;
  • finite variation kernel (FVK) models

Summary

This chapter contains sections titled:

  • Introduction

  • An Economy of Pure Discount Bonds

  • Modelling the Term Structure