volume 4, issue 2, P323-383 1998
DOI: 10.1017/s1357321700000052
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G.B. Chaplin

Abstract: ABSTRACTThe literature on ‘Term-Structure Models’ is extensive with many contributions from financial economists over the last twenty years. This paper reviews examples of term-structure models from different categories (‘equilibrium’, ‘evolutionary’ and ‘descriptive’) with particular emphasis on their intended application. The Vasicek (one-factor equilibrium), Richard (two-factor), and Hull & White (evolutionary) models are discussed in some detail.The paper reviews a particular class of descriptive polyn…

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