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

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

This book offers a new approach to interest rate and modeling term structure by using models based on optimization of dynamical systems, rather than the traditi

This article attempts to identify the best model of the short term interest rates that can predict its stochastic process over time. We studied nine different m

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