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A comparison of diffusion models of the term structure

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  • Chris Strickland

Abstract

A number of different continuous time approaches that have been developed to model the term structure of interest rates are examined. These techniques span the interest rate literature over the last 20 years or so, and are the most commonly used among both academics and practitioners. We view this paper as a reference for the different term structure models, aiming to bring together the three most commonly used approaches, emphasizing their differences, analysing their respective advantages and disadvantages, and with explicit representations where they exist for prices of discount bonds.

Suggested Citation

  • Chris Strickland, 1996. "A comparison of diffusion models of the term structure," The European Journal of Finance, Taylor & Francis Journals, vol. 2(1), pages 103-123.
    • Handle: RePEc:taf:eurjfi:v:2:y:1996:i:1:p:103-123
    DOI: 10.1080/135184796337625
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    1. Gibbons, Michael R & Ramaswamy, Krishna, 1993. "A Test of the Cox, Ingersoll, and Ross Model of the Term Structure," The Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 619-658.
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    Cited by:

    1. Javier Giner & Sandra Morini, 2001. "Improving the Quality of the Input in the Term Structure Consistent Models," CSEF Working Papers 70, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.

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