Modelando a Estrutura a Termo da Taxa de Juros: Dinâmica e Avaliação de Contratos Derivativos

This article deals with a model for the term structure of interest ratesand the valuation of derivative contracts directly dependent on it. The workis of a theoretical nature and deals, exclusively, with continuous timemodels, making ample use of stochastic calculus results and presentsoriginal contributions that we consider relevant to the development of thefixed income market modeling. We develop a new multifactorial model of theterm structure of interest rates. The model is based on the decomposition ofthe yield curve into the factors level, slope, curvature, and the treatmentof their collective dynamics. We show that this model may be applied toserve various objectives: analysis of bond price dynamics, valuation ofderivative contracts and also market risk management and formulation ofoperational strategies which is presented in another article.