@inbook{78526b2bc495468f8270e0f4547b0ea4,
title = "Interest Rate Derivatives: Multi-Factor Models",
abstract = "In this chapter we develop a framework for term structure modelling that allows factors other than the instantaneous spot rate itself to influence the evolution of the term structure of interest rates. The framework allows for multi-factor generalisations of the Hull–White model as well as of the CIR model. First we present a two-factor extension of the Hull–White model. Then we develop a general multi-factor term structure model and the corresponding bond option pricing model. Finally as a specific application, we consider the so called Duffie–Kan affine class of term structure models, which is widely applied in practice.",
keywords = "Bond Price, Hedge Portfolio, Option Price, Term Structure Model, Wiener Process",
author = "Carl Chiarella and He, {Xue Zhong} and Nikitopoulos, {Christina Sklibosios}",
note = "Publisher Copyright: {\textcopyright} 2015, Springer-Verlag Berlin Heidelberg.",
year = "2015",
doi = "10.1007/978-3-662-45906-5_24",
language = "English",
series = "Dynamic Modeling and Econometrics in Economics and Finance",
publisher = "Springer Science and Business Media Deutschland GmbH",
pages = "505--528",
booktitle = "Dynamic Modeling and Econometrics in Economics and Finance",
}