The objective of this paper is to estimate Serbian benchmark spot curves using the Svensson parametric model. The main challenges that we tackle are: sparse data, different currency denominations of short and longer term maturities, and infrequent transactions in the short-term market segment vs...

We introduce a general class of interest rate models in which the value of pure discount bonds can be expressed as a functional of some (low-dimensional) Markov process. At the abstract level this class includes all current models of practical importance. By specifying these models in...