The equilibrium approach to asset pricing is born with the Capital Asset Pricing Model (CAPM) of Sharpe ([Sha64]) and Lintner ([Lin65]), based on the works of Markowitz on diversification and portfolio theory ([Mar52], [Mar56]). Since then, most theoretical and empirical developments take place...

The interest rate market has been expanding immensely for thirty years, both in term of volumes and diversity of traded contracts. The growing complexity of derivatives has implied a need for sophisticated models in order to price and hedge these products. Three main approaches can be...