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  2. Short-rate model - Wikipedia

    en.wikipedia.org/wiki/Short-rate_model

    Under a short rate model, the stochastic state variable is taken to be the instantaneous spot rate. [1] The short rate, , then, is the (continuously compounded, annualized) interest rate at which an entity can borrow money for an infinitesimally short period of time from time .

  3. Vasicek model - Wikipedia

    en.wikipedia.org/wiki/Vasicek_model

    A trajectory of the short rate and the corresponding yield curves at T=0 (purple) and two later points in time. In finance, the Vasicek model is a mathematical model describing the evolution of interest rates. It is a type of one-factor short-rate model as it describes interest rate movements as driven by only one source of market risk. The ...

  4. Hull–White model - Wikipedia

    en.wikipedia.org/wiki/Hull–White_model

    The model is a short-rate model.In general, it has the following dynamics: = [() ()] + ().There is a degree of ambiguity among practitioners about exactly which parameters in the model are time-dependent or what name to apply to the model in each case.

  5. Category:Short-rate models - Wikipedia

    en.wikipedia.org/wiki/Category:Short-rate_models

    Pages in category "Short-rate models" The following 14 pages are in this category, out of 14 total. This list may not reflect recent changes. * Short-rate model; A.

  6. Black–Karasinski model - Wikipedia

    en.wikipedia.org/wiki/Black–Karasinski_model

    The model implies a log-normal distribution for the short rate and therefore the expected value of the money-market account is infinite for any maturity. In the original article by Fischer Black and Piotr Karasinski the model was implemented using a binomial tree with variable spacing, but a trinomial tree implementation is more common in ...

  7. Cox–Ingersoll–Ross model - Wikipedia

    en.wikipedia.org/wiki/Cox–Ingersoll–Ross_model

    A more tractable approach is in Brigo and Mercurio (2001b) [4] where an external time-dependent shift is added to the model for consistency with an input term structure of rates. A significant extension of the CIR model to the case of stochastic mean and stochastic volatility is given by Lin Chen (1996) and is known as Chen model.

  8. Black–Derman–Toy model - Wikipedia

    en.wikipedia.org/wiki/Black–Derman–Toy_model

    Once solved, retain these known short rates, and proceed to the next time-step (i.e. input spot-rate), "growing" the tree until it incorporates the full input yield-curve. In mathematical finance , the Black–Derman–Toy model ( BDT ) is a popular short-rate model used in the pricing of bond options , swaptions and other interest rate ...

  9. Chan–Karolyi–Longstaff–Sanders process - Wikipedia

    en.wikipedia.org/wiki/Chan–Karolyi–Longstaff...

    The CKLS process is often used to model interest rate dynamics and pricing of bonds, bond options, [8] currency exchange rates, [9] securities, [10] and other options, derivatives, and contingent claims. [11] [5] It has also been used in the pricing of fixed income and credit risk and has been combined with other time series methods such as ...