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Affine Models of the Term Structure of Interest Rates

Finance

  1. Nick Webber

Published Online: 15 SEP 2006

DOI: 10.1002/9780470012505.taa014

Encyclopedia of Actuarial Science

Encyclopedia of Actuarial Science

How to Cite

Webber, N. 2006. Affine Models of the Term Structure of Interest Rates. Encyclopedia of Actuarial Science. 1.

Author Information

  1. University of Warwick, Warwick Business School, Coventry, UK

Publication History

  1. Published Online: 15 SEP 2006

Abstract

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.

Keywords:

  • affine models;
  • Gaussian models;
  • lattice solution;
  • bond market