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 »

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 »