Interest Rate Modeling Research and Reference Information

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A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk
Presentation of a model to estimate the drift and diffusion of the short rate and the market price of interest rate risk.
www.haas.berkeley.edu

The Stochastic Behavior of Interest Rates
Presentation of a nonlinear, multifactor model of interest rate movements.
www.haas.berkeley.edu

Predictable Changes in Yields and Forward Rates
Illustrates that models with negative factors come closer to accounting for the properties of interest rates. By David Backus, Silverio Foresi, Abon Mozumdar and Liuren Wu 2000. Requires Acrobat Reader.
jfe.rochester.edu

Interest Rate Modeling Research and Reference

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