| Article ID: | iaor20116236 |
| Volume: | 214 |
| Issue: | 1 |
| Start Page Number: | 1 |
| End Page Number: | 14 |
| Publication Date: | Oct 2011 |
| Journal: | European Journal of Operational Research |
| Authors: | Schmidt Wolfgang M |
| Keywords: | interest rates |
This article surveys approaches to modelling the term structure of interest rates. Over the last few decades several frameworks have been developed, which are actively used in banks for the pricing and risk management of interest rate related products. There seems to be a need for an introductory overview of modelling approaches aimed at the yet unfamiliar reader with a quantitative background.