Abstract:
This paper shall cover:
1)foundational results of term structure: interest rate, bond, swap, financial products. equity...a review of the literature on term structure models and a review on Bayesian modelling of term structure.
2)recent advances of term structure, especially affine process and term structure of equity.
3)Bayesian estimation of affine term structure model.
4)Bayesian paradigm (pro and con), dealing with the choice of a statistical paradigm and decision theory, the uncertainty problem relating to behaviour and economic facts.
