Introduction to Term Structure Models

Modeling dynamic term structures serves as a practical and indispensable tool in the realm of finance. It enables investors, institutions, and policymakers to make informed decisions, manage risk effectively, and allocate resources wisely. By understanding how interest rates and yields evolve over time, these models offer a clear lens through which to assess market trends and price financial instruments accurately.

This course has been developed by Alain Monfort and Jean-Paul Renne. It is illustrated by R codes using various packages that can be obtained from CRAN. This TSModels package is available on GitHub. To install it, one need to employ the devtools library:

install.packages("devtools") # needed to use "install_github"

Useful (R) links: