by K Maes · Cited by 21 — Recently, the class of quadratic term structure models has been proposed and seems to outperform the affine class in terms of matching the economic moments of ...38 pages
term-structure-model
by AG Balter · 2021 — We find that this is inconsistent with no-arbitrage term-structure models' convexity. •. We construct a model-based extrapolation of the yield-curve. •. This differs .... Sep 22, 2019 — The Science of Term Structure Models ... A binomial model is a model that assumes that interest rates can take only one of two possible values .... by GB Chaplin · 1998 · Cited by 10 — 324 A Review of Term-Structure Models and their Applications. 1.2 We discuss four models in some detail: Vasicek (1977) (a one-factor equilibrium model); ... 939c2ea5af
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