KAFKOVÁ, Silvie. The Ho-Lee Short Interest Rate Model. In Šárka Hošková-Mayerová, Jaromír Kuben, Radovan Potůček, Pavlína Račková, Jiří Jánský. 7. konference o matematice a fyzice na vysokých školách technických s mezinárodní účastí : Sborník příspěvků část 1 - matematika. Brno: Univerzita obrany, 2011. p. 213-218, 6 pp. ISBN 978-80-7231-815-5.
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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
Original language English
Type of outcome Proceedings paper
Field of Study 10101 Pure mathematics
Country of publisher Czech Republic
Confidentiality degree is not subject to a state or trade secret
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
Changed by Changed by: Mgr. Silvie Zlatošová, Ph.D., učo 175424. Changed: 2/4/2013 21:15.
Abstract
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.
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