This article is a critical survey of models designed for pricing fixed-income securities and
their associated term structures of market yields. Our primary focus is on the interplay …

We empirically compare a wide range of term structure models used in the pricing and, in
particular, hedging of caps and swaptions. We analyze the influence of the number of factors …

We consider the design and estimation of quadratic term structure models. We start with a
list of stylized facts on interest rates and interest rate derivatives, classified into three …

Can the liquidity premium in asset prices, as documented in the exchange-traded equity and
bond markets, be generalized to the over-the-counter (OTC) derivative markets? Using OTC …

Does modelling stochastic interest rates, beyond stochastic volatility, improve pricing
performance on long-dated commodity derivatives? To answer this question, we consider …

Merchant operations involves valuing and hedging the cash flows of commodity-and energy-
conversion assets as real options based on stochastic models that inevitably embed model …

We address three questions relating to the interest rate options market: What is the shape of
the smile? What are the economic determinants of the shape of the smile? Do these …

The thesis seeks to use simulated annealing optimization to minimize the difference
between the value of the libor model volatility and the ones quoted in the market for …

We establish Markovian models in the paradigm that permit an exponential affine
representation of riskless and risky bond prices while offering significant flexibility in the …

We examine whether the information in cap and swaption prices is consistent with realized
movements of the interest rate term structure. To extract an option-implied interest rate …