Publication details
The Ho-Lee Short Interest Rate Model
| Authors | |
|---|---|
| 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 | |
| Citation | |
| 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. |