The study of interest rate models and term structure analysis is central to understanding financial markets, underpinning the valuation of fixed income securities, derivatives, and risk management ...

The mortgage valuation literature is saturated with numerous studies using the contingent claims approach to value mortgages. So far, efforts are directed into two alternative model frameworks. First, ...

The natural rate of interest, also known as r-star, is a key variable for analyzing fiscal and monetary policy. A novel method of measuring this rate for the euro area uses a yield curve model ...