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Short-rate model
Known as:
Kalotay-Williams-Fabozzi model
, Kalotay–Williams–Fabozzi model
, Longstaff-Schwartz model
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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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Related topics
Related topics
18 relations
Binomial options pricing model
Black–Derman–Toy model
Black–Karasinski model
Chen model
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Papers overview
Semantic Scholar uses AI to extract papers important to this topic.
Highly Cited
2007
Highly Cited
2007
Habit Formation and Macroeconomic Models of the Term Structure of Interest Rates
Andrea Buraschi
,
Alexei Jiltsov
2007
Corpus ID: 56053694
This paper introduces a new class of nonaffine models of the term structure of interest rates that is supported by an economy…
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Highly Cited
2003
Highly Cited
2003
Optimal Interest-Rate Smoothing
M. Woodford
2003
Corpus ID: 17642738
This paper considers the desirability of the observed tendency of central banks to adjust interest rates only gradually in…
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Highly Cited
2001
Highly Cited
2001
Economic News and Bond Prices: Evidence from the U.S. Treasury Market
Pierluigi Balduzzi
,
E. Elton
,
T. C. Green
Journal of Financial and Quantitative Analysis
2001
Corpus ID: 11658720
This Paper uses intraday data from the interdealer government bond market to investigate the effects of scheduled macroeconomic…
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Highly Cited
2001
Highly Cited
2001
Shifting endpoints in the term structure of interest rates
S. Kozicki
,
P. Tinsley
2001
Corpus ID: 1582757
Highly Cited
2000
Highly Cited
2000
Short Rate Nonlinearities and Regime Switches
G. Bekaert
,
Andrew Ang
2000
Corpus ID: 15719996
Using non-parametric estimation methods, various authors have shown distinct non-linearities in the drift and volatility function…
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Highly Cited
2000
Highly Cited
2000
Is the Short Rate Drift Actually Nonlinear
David A. Chapman
,
Neil D. Pearson
2000
Corpus ID: 774785
Ait-Sahalia (1996) and Stanton (1997) use nonparametric estimators applied to short-term interest rate data to conclude that the…
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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
P. Tinsley
1998
Corpus ID: 937173
The term structure of interest rates is the primary transmission channel of monetary policy. Under the expectations hypothesis…
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Highly Cited
1997
Highly Cited
1997
The Market Model of Interest Rate Dynamics
A. Brace
,
Dariusz G¸atarek
,
M. Musiela
1997
Corpus ID: 16342644
A class of term structure models with volatility of lognormal type is analyzed in the general HJM framework. The corresponding…
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Highly Cited
1996
Highly Cited
1996
Modeling the Conditional Distribution of Interest Rates as a Regime-Switching Process
Stephen Gray
1996
Corpus ID: 15147257
Highly Cited
1996
Highly Cited
1996
Optimal Asset Allocation Towards the End of the Life Cycle: To Annuitize or Not to Annuitize?
M. Milevsky
1996
Corpus ID: 10335847
Most individuals must decide how much, if any, of their wealth should be annuitized at about the time they retire. For many…
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