Phenomenology of the Interest Rate Curve

@article{Bouchaud1997PhenomenologyOT,
  title={Phenomenology of the Interest Rate Curve},
  author={J. Bouchaud and N. Sagna and R. Cont and N. El-Karoui and M. Potters},
  journal={Applied Mathematical Finance},
  year={1997},
  volume={6},
  pages={209-232}
}
This paper contains a phenomenological description of the whole U.S. forward rate curve (FRC), based on an data in the period 1990-1996. We find that the average FRC (measured from the spot rate) grows as the square-root of the maturity, with a prefactor which is comparable to the spot rate volatility. This suggests that forward rate market prices include a risk premium, comparable to the probable changes of the spot rate between now and maturity, which can be understood as a `Value-at-Risk… Expand
Phenomenology of the term structure of interest rates with Padé Approximants
Multi-dimensional stochastic volatility for Interest Rates
An Alternative Interest Rate Term Structure Model
Multi factor stochastic volatility for interest rates modeling
Modeling Term Structure Dynamics: An Infinite Dimensional Approach
...
1
2
3
4
5
...