In this paper I discuss the modeling of the yield in discrete time. The popular Nelson-Siegel model and the Vasicek-factors model are presented in the same framework then it is simple to compare them.

Motivated by the empirical evidence of long range dependence in short-term interest rates and considering the long maturities of equity warrants, we propose the fractional Vasicek model to describe the dynamics of the short rate in the pricing environment of equity warrants. Using the partial...