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8:15 AM-9:00 AM
Chair: Roy Nicolaides, Carnegie Mellon University
Room: Convocation Hall
There are currently two principal approaches to building models for the stochastic evolution of interest rates: spot rate models and term structure models. Each of these had deficiencies and advantages, but neither is fully satisfactory. The speaker will examine these methods and suggest a new class of models which appears to possess most of the advantages and avoid most of the deficiencies of existing methods.
David Heath
Department of Mathematical Sciences
Carnegie Mellon University
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