Continuous-time term structure models: Forward measure approach

Continuous-time term structure models: Forward measure approach

The problem of term structure of interest rates modelling is considered in a continuous-time framework. The emphasis is on the bond prices, forward bond prices and so-called LIBOR rates, rather than on the instantaneous continuously compounded rates as in most traditional models. Forward and spot probability measures are introduced in this general set-up. Two conditions of noarbitrage between b...

Continuous-time Identification of Exponential-affine Term Structure Models

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Review of Continuous - Time Term - Structure Models Part I : equilibrium ( classical ) models

Review of Continuous-Time Term-Structure Models Part II: Arbitrage-Free Models

Markovian Term Structure Models in Discrete Time

In this article we discuss Markovian term structure models in discrete time and with continuous state space. More precisely, we are concerned with the structural properties of such models if one has the Markov property for a part of the forward curve. We investigate the two cases where these parts are either a true subset of the forward curve, including the short rate, or the entire forward cur...