A short-rate model, in the context of interest rate derivatives, is a mathematical model that describes the future evolution of interest rates by describing...

model is a mathematical model describing the evolution of interest rates. It is a type of one-factor short-rate model as it describes interest rate movements...

premium for such a policy Short-rate model (interest), a mathematical model that describes the future evolution of interest rates by describing the future...

Cox–Ingersoll–Ross (CIR) model describes the evolution of interest rates. It is a type of "one factor model" (short-rate model) as it describes interest rate movements...

C. Hull and Alan White in 1990. The model is still popular in the market today. The model is a short-rate model. In general, it has the following dynamics:...

Black–Derman–Toy model (BDT) is a popular short-rate model used in the pricing of bond options, swaptions and other interest rate derivatives; see Lattice model (finance)...

linear functions of the spot rate (and potentially additional state variables). Start with a stochastic short rate model r ( t ) {\displaystyle r(t)}...

chapter five of his book Market Consistency: Model Calibration in Imperfect Markets, the risk-free rate means different things to different people and...

model is a mathematical model of the term structure of interest rates; see short-rate model. It is a one-factor model as it describes interest rate movements...

Ho-Lee model is a short-rate model widely used in the pricing of bond options, swaptions and other interest rate derivatives, and in modeling future interest...

teaching. The IS–LM model shows the relationship between interest rates and output in the short run in a closed economy. The intersection of the "investment–saving"...

proportional hazards model, the unique effect of a unit increase in a covariate is multiplicative with respect to the hazard rate. The hazard rate at time t is...

Mundell–Fleming model describes a small open economy. The Mundell–Fleming model portrays the short-run relationship between an economy's nominal exchange rate, interest...

popular short-rate models, such as the Hull–White model have this degree of tractability. Thus we can value caps and floors in those models. Caps based...

Forward rate List of countries by central bank interest rates Macroeconomics Rate of return Short-rate model Spot rate Fisher, Irving (1907). The Rate of Interest:...

gain or loss from changing interest rates at that point in the yield curve. Short-rate model Zero interest-rate policy Multi-curve framework 1. ^ The...

the Chen model is a mathematical model describing the evolution of interest rates. It is a type of "three-factor model" (short-rate model) as it describes...

The Harrod–Domar model is a Keynesian model of economic growth. It is used in development economics to explain an economy's growth rate in terms of the...

discretizing either a short-rate model, such as Hull–White or Black Derman Toy, or a forward rate-based model, such as the LIBOR market model or HJM. As for...

than just the short rate. (The HJM framework incorporates the Brace–Gatarek–Musiela model and market models. And some of the short rate models can be straightforwardly...

that are modeled, rather than the short rate or instantaneous forward rates (like in the Heath–Jarrow–Morton framework) are a set of forward rates (also...

exchange rate volatility. The key features of the model include the assumptions that goods' prices are sticky, or slow to change, in the short run, but...

demand–aggregate supply model (also known as the aggregate supply–aggregate demand or AS–AD model) is a widely used macroeconomic model that explains short-run and long-run...

as to how the models listed above are applied to options on these instruments, and other interest rate derivatives, see short-rate model and Heath–Jarrow–Morton...

Rendleman–Bartter model (Richard J. Rendleman, Jr. and Brit J. Bartter) in finance is a short-rate model describing the evolution of interest rates. It is a "one...

nominal short-term interest rate is always greater than or equal to zero. In Black's model, the shadow nominal short-term rate is what the nominal short-term...

framework to model the evolution of interest rate curves – instantaneous forward rate curves in particular (as opposed to simple forward rates). When the...

Interest rate Risk-free interest rate Term structure of interest rates Short-rate model Vasicek model Cox–Ingersoll–Ross model Hull–White model Chen model Black–Derman–Toy...

In finance, an exchange rate is the rate at which one currency will be exchanged for another currency. Currencies are most commonly national currencies...

years), over which the short-run growth rate is applied. Even when g is very close to r, P approaches infinity, so the model becomes meaningless. a)...