Affine term structure models in which the short rate follows a jump-diffusion process are difficult to solve, and the parameters of such models are hard to esti

Contains a selection of papers presented initially at the 7th Annual Advances in Econometrics Conference held on the LSU campus in Baton Rouge, Louisiana during

The author derives an efficient and accurate pricing tool for interest-rate derivatives within a Fourier-transform based pricing approach, which is generally ap