This draft paper outlines a term structure model that models the short rate as a sum of n Gaussian processes (a 'Gn' model). It is shown that the given specification involves no redundant parameters and gives rise to a non-trivial multifactor term structure model. A closed-form expression,...

Interest-rate volatility is known to be positively level dependent, i.e., to correlate positively with interest rate levels. However, recent research has provided compelling evidence that as interest rates rise, the amount of level dependence decreases. We advance this line of research by...

Interest-rate benchmark reform has revived short-rate modelling. One reason is that short-rate models provide a consistent framework in which different benchmarks, and contracts linked to them, can be compared. Another reason is that new benchmarks can be directly dependent on very short-term...

Chapter 1 Preliminaries -- Chapter 2 Risk and Expected Utility -- Chapter 3 Market Pricing and Market E ciency -- Chapter 4 Modern Portfolio Theory -- Chapter 5 Asset Pricing -- Chapter 6 Introduction to Derivatives -- Chapter 7 Arbitrage and Model-free Pricing Methods- Chapter 8 Modelling,...

Modelling the risk that a financial institution may not be able to roll over short-term borrowing at the market reference rate, we derive the dynamics of (interbank) reference term rates (e.g., LIBOR) and their spread vis-à-vis benchmarks based on overnight reference rates, e.g., rates implied...