Affine Models of the Term Structure of Interest Rates
Published Online: 15 SEP 2006
Copyright © 2004 John Wiley & Sons, Ltd
Encyclopedia of Actuarial Science
How to Cite
Webber, N. 2006. Affine Models of the Term Structure of Interest Rates. Encyclopedia of Actuarial Science. 1.
- Published Online: 15 SEP 2006
Several families of interest rate models are commonly used to model the term structure of interest rates. These include market models, used extensively in the money markets; affine term structure models, widely used in the bond markets; and Heath, Jarrow, and Morton (HJM) models, less widely used but applied to both the bond and money markets.
- affine models;
- Gaussian models;
- lattice solution;
- bond market