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The Term Structure of Interest Rates: Alternative Approaches and Their Implications for the Valuation of Contingent Claims

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Author Info
Marti G. Subrahmanyam (Leonard N. Stern School of Business, New York University, 44 West Fourth Street 10012-1126 New York NY)
Abstract

One of the most active areas of research in financial economics has been the modeling of the term structure of interest rates and its relationship to the pricing of contingent claims. There is a vast array of issues in the area, as well as a variety of perspectives, ranging from theoretical to practical. This article provides a general framework for the analysis of issues in the modeling of the term structure. Specifically, this article provides an overview of the conceptual issues and the empirical evidence in the area, based on an examination of five seminal models by Black, Scholes, and Merton; Vasicek; Cox, Ingersoll, and Ross; Ho and Lee; and Heath, Jarrow, and Morton. The article provides a synthesis of the area and suggests directions for future research. The Geneva Papers on Risk and Insurance Theory (1996) 21, 7–28. doi:10.1007/BF00949048

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Article provided by Palgrave Macmillan Journals in its journal The Geneva Papers on Risk and Insurance Theory.

Volume (Year): 21 (1996)
Issue (Month): 1 (June)
Pages: 7-28
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Handle: RePEc:pal:genrir:v:21:y:1996:i:1:p:7-28

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  1. Konstantijn Maes, 2004. "Modeling the Term Structure of Interest Rates: Where Do We Stand?," Research series 200402, National Bank of Belgium. [Downloadable!]
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