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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… 
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Papers overview

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Highly Cited
2007
Highly Cited
2007
This paper introduces a new class of nonaffine models of the term structure of interest rates that is supported by an economy… 
Highly Cited
2003
Highly Cited
2003
This paper considers the desirability of the observed tendency of central banks to adjust interest rates only gradually in… 
Highly Cited
2001
Highly Cited
2001
This Paper uses intraday data from the interdealer government bond market to investigate the effects of scheduled macroeconomic… 
Highly Cited
2001
Highly Cited
2000
Highly Cited
2000
Using non-parametric estimation methods, various authors have shown distinct non-linearities in the drift and volatility function… 
Highly Cited
2000
Highly Cited
2000
Ait-Sahalia (1996) and Stanton (1997) use nonparametric estimators applied to short-term interest rate data to conclude that the… 
Highly Cited
1998
Highly Cited
1998
The term structure of interest rates is the primary transmission channel of monetary policy. Under the expectations hypothesis… 
Highly Cited
1997
Highly Cited
1997
A class of term structure models with volatility of lognormal type is analyzed in the general HJM framework. The corresponding… 
Highly Cited
1996
Highly Cited
1996
Most individuals must decide how much, if any, of their wealth should be annuitized at about the time they retire. For many…