Term structures

 M2 104 Research in Finance & M2 MASEF, 2023-2024

Term structures: interest rates, commodities and other assets

Organization 

Term structures

Previous exams

Slides :  

Chapter 1. Introduction 

Chapter 2. First market models 

Chapter 3. Term structure models

Chapter 4. Applications of term structure models

Chapter 5. Structural models

Advised reading list associated with chapter 3

Review on term structures

Schwartz models 1997

Kalman filters

Term structure models of interest rates

Common factors in commodity markets

Advised reading list associated with chapter 4

Edwards and Canter

Advised reading list associated with chapter 5

Anderson-Danthine (1983,a)

Anderson-Danthine (1983,b)

Ekeland et al (2019)

Cassassus et al (2007)