Markus Mayer
Fixed Income Know-How
This is an introduction to the basic notions, conventions and applications of the term structure of interest rates, commonly called the yield curve. Here you will find a discussion of the basic notions like interest rate, discount factor zero, par and forward curve, and slightly more advanced topics. This introduction ... Read more »
Hidden Markov Models
Hidden Markov models (HMMs) are briefly introduced and the major results are collected: Maximum likelihood inference, the Baum-Welch algorithm, and Monte-Carlo approaches. The document also contains an overview of selected HMMs that are of particular practical use. Click here. ... Read more »
The Economic Factor Model and a class of affine term structure models
The economic factor model is an affine term structure model where the factors have a particular economic interpretation. The general affine n-factor term structure model is presented and the EFM as a special case is developed in detail. The results include general expressions for dynamics bond prices, forward curves and ... Read more »