• Embed Doc
  • Copy Link
  • Readcast
  • Collections
  • 1
    CommentGo Back
Download
I nterest Rate Models
Copyright \u00a9 1996-2006
Investment Analytics
I nterest Rate Models
Copyright \u00a9 1996-2006 Investment Analytics
I nterest Rate Models
Slide: 2

\ue000Model types, characteristics
\ue000Model Taxonomy
\ue000One-Factor models

\ue000
Vasicek
\ue000
Ho & Lee
\ue000
Hull & White
\ue000
Black-Derman-Toy Model
Two Factor Models
\ue000
Fong & Vasicek
\ue000
Longstaff & Scwartz
\ue000
Hull & White
\ue000
Heath-Jarrow-Morton
\ue000
I nterest Rate Models
Copyright \u00a9 1996-2006 Investment Analytics
I nterest Rate Models
Slide: 3
Used to:

\ue000Value derivatives, esp. non-standard
\ue000Compute hedge ratios
\ue000Assess portfolio risk

\ue000
Provides a consistent framework for
valuation, hedging & risk-management
of 00

Leave a Comment

You must be to leave a comment.
Submit
Characters: ...
You must be to leave a comment.
Submit
Characters: ...