A long journey

Interest rate models

risk20-0707-34-gif

It all began in the late 1970s. It didn't look like much - it was just a collection of curves that could go up or down, but could not even produce a hump. Yet, with the set of apparently unexciting yield curves produced by Oldrich Vasicek in his 1977 paper An equilibrium characterization of the term structure, interest rate derivatives modelling as we understand it today was born.

Tracing step-by-step the changes from those inspired beginnings to the current state of modelling would make this

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: