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A Theory for the Term Structure of Interest Rates

Thomas Alderweireld·Jean Nuyts
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Abstract

The Convolution and Master equations governing the time behavior of the term structure of Interest Rates are set up both for continuous variables and for their discretised forms. The notion of Seed is introduced. The discretised theoretical distributions matching the empirical data from the Federal Reserve System (FRS) are deduced from a discretised seed which enjoys remarkable scaling laws. In particular the tails of the distributions are very well reproduced. These results may be used to develop new methods for the computation of the value-at-risk and fixed-income derivative pricing.

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Thomas Alderweireld, Jean Nuyts. 2005-06-03. A Theory for the Term Structure of Interest Rates. https://arxiv.org/abs/cond-mat/0405293

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