Forecasting Interest Rates — Mean Reverting Drift Term Structure Models

How Mean Reverting Drift Term Structure Models Can Evolve Interest Rates

Farhad Malik
Feb 5, 2019 · 6 min read

This article aims to introduce a number of mean-reverting short term interest rate models which can forecast and evolve interest rates. These models are known as term structure models. We need this knowledge before we can assess how machine learning algorithms can resolve the issues.

The article builds up on the knowledge that was acquired in the previous topics…