The Ho-Lee Short Interest Rate Model


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Year of publication 2011
Type Article in Proceedings
Conference 7. konference o matematice a fyzice na vysokých školách technických s mezinárodní účastí : Sborník příspěvků část 1 - matematika
MU Faculty or unit

Faculty of Science

Field General mathematics
Keywords Wiener process; Ito's lemma; Ho Lee model; forward rate
Description 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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