Considers a wide range of several continuous-time one-factor models for short-term interest rates that are nested into one general model.

This paper sheds light on a narrow but crucial question in finance: What should be the parameters of a model of the short-term real interest rate? Although mode

Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to val

We present and estimate, using nonparametric regression techniques, a model of short term interest rate dynamics and use the estimation to value bonds. We study