Modeling and estimating the term structure of interest rates.

Summary This work consists of five chapters and examines two aspects of term structure modeling: the valuation of interest rate derivative assets and the inference of models typically used in this valuation. The first chapter consists of an introduction to continuous-time models and their arbitrage valuation. The second chapter focuses on the valuation of options in a particular affine model. The estimation of diffusion processes describing the dynamics of state variables is analyzed in chapter iii and consists in a presentation of a method based on simulations. In chapter iv, non-nested hypothesis tests using simulation-based procedures and a notion of indirect embedding are described. Two applications are proposed in chapter v. The first is the presentation of a method for estimating bond prices from term structure models. The second application concerns the estimation and comparison of several models usually used for the instantaneous short rate.