Economics, Econometrics and Finance
8 years ago

Revolutionizing Interest Rates: New Models Transforming Financial Markets

Encyclopedia of Financial Models
Static Term Structure Modeling in Discrete and Continuous Time
David Audley, Richard Chin, Peter C. L. Lin, S. Ramamurthy

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The article discusses how interest rates for different time periods are determined and how they are used to assess value and risk in financial markets. Different models are used to represent these relationships, such as spot yield curve and par yield curve. These models can be applied in both discrete and continuous time frameworks. The main focus is on understanding how these models are built and how they can be transformed into each other.