Sicairos, René Benjamín Pérez - In: Revista de Administración, Finanzas y Economía … 1 (2007) 2, pp. 169-182
In this paper we obtain an interest rate term structure to price fixed-rate assets. In such structure we model the dynamics of the short interest rate based on the three factor model proposed by Lin-Chen (1995). Here we use the Mexican daily funding government rate as the short interest rate....