D 2011

The Ho-Lee Short Interest Rate Model

KAFKOVÁ, Silvie

Basic information

Original name

The Ho-Lee Short Interest Rate Model

Authors

KAFKOVÁ, Silvie (203 Czech Republic, guarantor, belonging to the institution)

Edition

Brno, 7. konference o matematice a fyzice na vysokých školách technických s mezinárodní účastí : Sborník příspěvků část 1 - matematika, p. 213-218, 6 pp. 2011

Publisher

Univerzita obrany

Other information

Language

English

Type of outcome

Stať ve sborníku

Field of Study

10101 Pure mathematics

Country of publisher

Czech Republic

Confidentiality degree

není předmětem státního či obchodního tajemství

Publication form

printed version "print"

RIV identification code

RIV/00216224:14310/11:00059097

Organization unit

Faculty of Science

ISBN

978-80-7231-815-5

Keywords in English

Wiener process; Ito's lemma; Ho Lee model; forward rate

Tags

AKR, rivok
Změněno: 2/4/2013 21:15, Mgr. Silvie Zlatošová, Ph.D.

Abstract

V originále

This report deals with a mathematical model of short-term interest rate, the Ho Lee model. First we recall the notions of instantaneous rate, forward rate and basic concepts of stochastics analysis, then we present the model. The final part contains an aplication, describing the use of the model for prediction of the curve of forward rates.
Displayed: 17/11/2024 04:27