Term structure models have attracted tremendous amount of attention in the last two decades. My first paper specifies the dynamic and cross-sectional behavior of bonds in the framework of the Linear or general affine term structure model (ATSM). After revisiting the basic theory of ATSM under...

This paper studies dynamical and cross-sectional structures of bonds, typically used as riskfreeassets in mathematical finance. After reviewing a mathematical theory on commonfactors, also known as principal components, we compute empirical common factors for 10US government bonds (3month,...

This paper studies dynamical and cross-sectional structures of bonds, typically used as riskfree assets in mathematical finance. After reviewing a mathematical theory on common factors, also known as principal components, we compute empirical common factors for 10 US government bonds (3month,...