This book is an ambitious effort by three well-known and well-respected scholars to fill an
acknowledged void in the literature—a text covering the burgeoning field of empirical …

An update of a classic book in the field, Modern Portfolio Theory examines the
characteristics and analysis of individual securities as well as the theory and practice of …

This paper derives an arbitrage‐free interest rate movements model (AR model). This model
takes the complete term structure as given and derives the subsequent stochastic movement …

During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

Changing interest rates constitute one of the major risk sources for banks, insurance
companies, and other financial institutions. Modeling the term-structure movements of …

TERM STRUCTURE OF interest rates provides a characterization of interest rates as a
function of maturity. It facilitates the analysis of rates and yields such as discussed in …

La gestión del riesgo financiero en general, y en particular la del riesgo de mercado, es una
de las materias que mayor atención viene recibiendo en los últimos años por parte de las …

Studies estimating the term structure using a linear approximation to the discount function
frequently use spline functions. Many of these functions can be shown to generate a …

The purpose of this study is to extend the analysis of estimation of the term structure. The
ability of the exponential/polynomial present-value function of equation (5) to approximate …

Despite a substantial empirical literature which has developed on the term structure of
interest rates, 1 relatively little attention has been paid to the problem of obtaining reliable …