Using daily caps and floors market prices throughout the years 1993 and 1994, we address the open question whether spot or forward interest-rate models of the term structure provide a better fit to market prices of options. In particular, we compare the Hull and White (1994), Pelsser (1996) and...

This paper studies empirical issues of one-factor yield curve models. We focus on the models by Ho

This paper studies empirical issues of one-factor yield curve models. We focus on the models by Hoand Lee (1986), Hull and White (1990) and Moraleda and Vorst (1996). To be consistent in thecomparison of the models, we derive them all within the Ritkchen and Sankarasubramanian (1995)framework,...

Some of the most recent empirical studies on interest rate derivatives have found humped shapes in the volatility structure of interest rates. Accordingly, Mercurio and Moraleda (1996) have modeled interest rate dynamics in a way that allows for such a shape in the volatility and is analytically...

Recent empirical studies on interest rate derivatives have shown that the volatility structure of interest rates is frequently humped. Mercurio and Moraleda (1996) and Moraleda and Vorst (1996a) have modelled interest rate dynamics in such a way that humped volatility structures are possible and...