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Tree returning the OAS (black vs red): the short rate is the top value; the development of the bond value shows pull-to-par clearly . A short-rate model, in the context of interest rate derivatives, is a mathematical model that describes the future evolution of interest rates by describing the future evolution of the short rate, usually written .
The HJM framework originates from the work of David Heath, Robert A. Jarrow, and Andrew Morton in the late 1980s, especially Bond pricing and the term structure of interest rates: a new methodology (1987) – working paper, Cornell University, and Bond pricing and the term structure of interest rates: a new methodology (1989) – working paper ...
The Rendleman–Bartter model (Richard J. Rendleman, Jr. and Brit J. Bartter) in finance is a short-rate model describing the evolution of interest rates. It is a "one factor model" as it describes interest rate movements as driven by only one source of market risk. It can be used in the valuation of interest rate derivatives. It is a ...
Other derivatives, especially interest rate derivatives, credit derivatives and exotic derivatives; Modeling the term structure of interest rates (bootstrapping / multi-curves, short-rate models, HJM framework) and credit spreads; Credit valuation adjustment, CVA, as well as the various XVA
In financial mathematics, the Ho-Lee model is a short-rate model widely used in the pricing of bond options, swaptions and other interest rate derivatives, and in modeling future interest rates. [1]: 381 It was developed in 1986 by Thomas Ho [2] and Sang Bin Lee. [3] Under this model, the short rate follows a normal process:
The State Fair of Texas starts Sept. 29, kicking off 24 days of fair fun. Established in 1886 , the State Fair of Texas continues to promote Texas agriculture, education and community involvement ...
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.
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