Futures-based Term Structure Models Futures-based Term Structure Models

David Heath

Carnegie Mellon University, USA (heath@andrew.cmu.edu)

Abstract

There are currently two paradigms for term structure modelling: modelling the spot rate, and modelling the term structure of forward rates. Each has advantages and disadvantages: For spot rate modelling the question of model choice is unclear, while for most HJM models computations are difficult. We present a new class of term structure models essentially as general as either of the above and for which differences between models are easy to understand and, for a class of interesting models, computations are easy.


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On 10 May 1999, 10:50.