The purpose of this paper is to demonstrate the powerful and flexible applicability of the Gram-Charlier expansion to pricing of a wide variety of interest rate related products involving interest rate risk and credit risk. In this paper, we develop easily implemented approximations of the...

It is well-known that time-homogeneous affine term structure models are incompatible with most observed initial forward rate curves. For the Vasicek (1977) and Cox et al. (1985) models, time-inhomogeneous extensions capable of fitting any given initial forward rate curve were introduced in Hull...

This paper presents a multi-factor valuation model for fixed-rate callable mortgage backed securities (MBS). The model yields semi-analytic solutions for the value of MBS in the sense that the MBS value is found by solving a system of ordinary differential equations. Instead of modelling the...

This paper presents an essentially affine model of the term structure of interest rates making use of macroeconomic factors and their long-run expectations. The model extends the approach pioneered by Kozicki and Tinsley (2001) by modelling consistently long-run inflation expectations...

This paper provides an introduction to the mathematical models that describe the shape of the term structure of interest rates across time. In essence, all these so-called term structure models are driven by the assumption that arbitrage opportunities are absent. The intuitive concept of absence...

This paper presents an essentially affine model of the term structure of interest rates making use of macroeconomic factors and their long-run expectations. The model extends the approach pioneered by Kozicki and Tinsley (2001) by modelling consistently long-run inflation expectations...