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The Hull-White Modelhapter 4 we proved that only normal models where the spot interest rate is a linear or quadratic function of the underlying process . have normally distributed fundamental solutions. Hence, only these models are expected to have a rich analytical structure.AMOR 发表于 2025-3-30 00:39:10
An Empirical Comparison of One-Factor Modelsown how this theory can be used for valuing interest rate derivatives. We analysed in Chapters 5 and 6 a linear and a squared normal model which both have a rich analytical structure. However, only little attention has been devoted to the empirical validity of these models. In this chapter we addres多嘴 发表于 2025-3-30 04:57:14
LIBOR and Swap Market Modelscally convenient choice for the spot interest rate leads to models which are particularly tractable. However, since these models are set up in terms of a mathematically convenient rate that does not exist in practice, valuation formula for real-world instruments like caps, floors and swaptions tend