LECTURE 7 Interest Rate Models I: Short Rate Models
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چکیده
منابع مشابه
LIBOR , Swap Rates and Black ’ s Formulae for Caps and
One of the principal disadvantages of short rate models, and HJM models more generally, is that they focus on unobservable instantaneous interest rates. The so-called market models that were developed in the late 90’s overcome this problem by directly modelling observable market rates such as LIBOR and swap rates. These models are straightforward to calibrate and have quickly gained widespread ...
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