Term structures

M2 104 Research in Finance & M2 MASEF, 2025-2026

Term structures: interest rates, commodities and other assets

Organization 

Term structures

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

Lectures associated with chapter 3

Schwart_JoF_97

Review on term structure models

Kalman filtering 

Common factors in prices curves

Macroeconomics and the term structure