| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 478486 | European Journal of Operational Research | 2011 | 14 Pages |
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.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Wolfgang M. Schmidt,