The aim of this diploma thesis is to present the theory as well as the practical applications of affine interest rate models. On the basis of the general theory established by Duffie and Kan, we put emphasis on affine models whose state variables have - in contrast to their theoretical abstract definition - a rea- sonable economic interpretation. Starting from the very first term structure models, namely the Vasicek and the Cox-Ingersoll-Ross model, we describe in sequel two- and more-factor models that have appeared in literature. By means of the Vasicek model we exemplify the calibration to market yields as well as to market cap volatilities.

However, our main focus are affine yield factor models developed by Duffie and Kan, which allow to relate the state variables to yields with different maturities. We show how to calibrate a two-factor version of this model to market data. The results are promising since the model fits the market yields from different dates very well while the parameters remain nearly constant.