%0 Journal Article
%T Interest Rate Models
%A Alex Paseka
%A Theodoro Koulis
%A Aerambamoorthy Thavaneswaran
%J Journal of Mathematical Finance
%P 141-158
%@ 2162-2442
%D 2012
%I Scientific Research Publishing
%R 10.4236/jmf.2012.22016
%X In this paper, we review recent developments in modeling term structures of market yields on default-free bonds. Our discussion is restricted to continuous-time dynamic term structure models (DTSMs). We derive joint conditional moment generating functions (CMGFs) of state variables for DTSMs in which state variables follow multivariate affine diffusions and jump-diffusion processes with random intensity. As an illustration of the pricing methods, we provide special cases of the general formulations as examples. The examples span a wide cross-section of models from early one-factor models of Vasicek to more recent interest rate models with stochastic volatility, random intensity jump-diffusions and quadratic-Gaussian DTSMs. We also derive the European call option price on a zero-coupon bond for linear quadratic term structure models.
%K Affine Process
%K Dynamic Term Structure Models
%K Jump-Diffusions
%K Quadratic-Gaussian DTSMs
%U http://www.scirp.org/journal/PaperInformation.aspx?PaperID=19211