This book presents a three-factor model of the term structure of interest rates in which the short mean and volatility …

Interest rate dynamics are influenced by various economic factors, and central bank meetings play a crucial role … for fast and efficient interest rate derivative pricing. Our methodology incorporates this method. The results obtained in …

volatilities of the credit spreads implicitly obtained from Libor time series. In order to understand how assumed volatility … functions affect interest rate curve modelling and asset pricing, we develop a model to estimate basis swap prices through the … forecast error and both the accuracy in volatility modelling and the accuracy of the Monte Carlo method. We analyze and …

and the optimal exercise strategies in terms of swap rates for both fixed-rate payer and receiver swaps. Finally, we show …