Other Interest-Rate Models

Abstract

In this chapter we introduce brief sketches of some of the models that are known in the literature and that have not been included in the previous chapters. All models are arbitrage free, and we will not discuss no-arbitrage implications further. Instead, we synthetically explain in what these models differ from the previous models and what are their original features. We also give references for the readers who might wish to deepen their knowledge of a specific approach. Clearly, presenting all the models that have been proposed in the literature is a huge task. We only present a few, without any claim to completeness of the treatment. Indeed, there are certainly several other relevant and worthy models that have not been included here, and we make the excuse that a choice is necessary since it is impossible to do justice to all the models appeared over the years. The reader interested in models that have not appeared in this book can also check other books on interest rate models such as for example James and Webber (2000).