Multi Factor

one factor for short rate
another factor for long rate



No-Arbitrage


Hull and White (HW) (1987) - Two Factor



Heath-Jarrow-Morton (HJM) (1992)
This model is for predicting forward rates



Equilibrium

Longstaff-Schwartz (1989)





Others ??

Merton (1973)
Geometric Brownian Motion
Dothan (1978)
Courtadon (1982)
Langetieg (1980)
Richard (1979)
Black Scholes (1973)
Jarrow and Rudd (1982)
Boyle (1977) - monte carlo simulation








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