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Short-rate model

Known as: Kalotay-Williams-Fabozzi model, Kalotay–Williams–Fabozzi model, Longstaff-Schwartz model 
A short-rate model, in the context of interest rate derivatives, is a mathematical model that describes the future evolution of interest rates by… Expand
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Related topics

18 relations
Binomial options pricing modelBlack–Derman–Toy modelBlack–Karasinski modelChen model
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Papers overview

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Highly Cited
2010
Highly Cited
2010
Dynamic asset allocation with stochastic income and interest rates.
We solve for optimal portfolios when interest rates and labor income are stochastic with the expected income growth being affine… Expand
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Highly Cited
2007
Highly Cited
2007
Habit Formation and Macroeconomic Models of the Term Structure of Interest Rates
This paper introduces a new class of nonaffine models of the term structure of interest rates that is supported by an economy… Expand
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Highly Cited
2003
Highly Cited
2003
Optimal Interest-Rate Smoothing
This paper considers the desirability of the observed tendency of central banks to adjust interest rates only gradually in… Expand
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Highly Cited
2001
Highly Cited
2001
Economic News and Bond Prices: Evidence from the U.S. Treasury Market
This Paper uses intraday data from the interdealer government bond market to investigate the effects of scheduled macroeconomic… Expand
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Highly Cited
2001
Highly Cited
2001
A deterministic–shift extension of analytically–tractable and time–homogeneous short–rate models
Abstract. In the present paper we show how to extend any time-homogeneous short-rate model to a model that can reproduce any… Expand
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Highly Cited
1999
Highly Cited
1999
Interest Rate Dynamics and Consistent Forward Rate Curves
We derive general necessary and sufficient conditions for the mutual consistency of a given parametrized family of forward rate… Expand
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Highly Cited
1998
Highly Cited
1998
Short Rate Expectations, Term Premiums, and Central Bank Use of Derivatives to Reduce Policy Uncertainty
The term structure of interest rates is the primary transmission channel of monetary policy. Under the expectations hypothesis… Expand
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Highly Cited
1997
Highly Cited
1997
The Market Model of Interest Rate Dynamics
A class of term structure models with volatility of lognormal type is analyzed in the general HJM framework. The corresponding… Expand
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Highly Cited
1996
Highly Cited
1996
Modeling the Conditional Distribution of Interest Rates as a Regime-Switching Process
This paper develops a generalized regime-switching (GRS) model of the short-term interest rate. The model allows the short rate… Expand
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Highly Cited
1996
Highly Cited
1996
Optimal Asset Allocation Towards the End of the Life Cycle: To Annuitize or Not to Annuitize?
Most individuals must decide how much, if any, of their wealth should be annuitized at about the time they retire. For many… Expand
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