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Term-Structure Models Using Binomial Trees Summary:By Gerald W. Buetow Jr, James Sochacki
dependent claims. Although term-structure experts have produced a variety of useful models, they involve complex mathematics, which limits their accessibility to investment practitioners who are not engaged in this area of specialization. Moreover, the original “journal” versions of these models and their subsequent descriptions in text books often abstract from many important details necessary for implementation. These circumstances make it difficult for investors to compare the prices of interest rate dependent claims, to assess the appropriateness of alternative term-structure software products, and to build their own term-structure models. With this monograph, Gerald W. Buetow, Jr., CFA, and James Sochacki go a long way toward ameliorating this problem. They begin with a concise but hardly superficial overview of interest rate modeling, and they introduce the binomial tree framework. Having thoroughly prepared the reader, they next present the five most important no-arbitrage term-structure models: • Ho–Lee Model. This model was the first no-arbitrage term-structure model. It assumes constant and identical volatility for all spot and forward rates and does not incorporate mean reversion. • Hull–White Model. This model extends the Ho–Lee model to allow for mean reversion. • Kalotay–Williams–Fabozzi Model. This model assumes a lognormal distribution and eliminates the problem of negative short rates, which can occur with the Ho–Lee and Hull–White models. • Black–Karasinski Model. An extension of the Kalotay–Williams– Fabozzi Model, this model controls the growth in the short rate. • Black–Derman–Toy Model. This model permits independent and timevarying spot-rate volatilities. Please select one mirror to download
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NEWER EBOOKSOLDER EBOOKSSponsored LinksTerm-Structure Models Using Binomial Trees Keywordsmodels term structure ho–lee cfa important hull–white dependent no arbitrage claims binomial rates buetow gerald reversion jr james assumes sochacki model volatility dependent claims term structure models important details subsequent descriptions alternative term structure software products term structure software journal versions complex mathematics james sochackiTerm-Structure Models Using Binomial Trees download copyrightThis site does not store Term-Structure Models Using Binomial Trees on its server. We only index and link to Term-Structure Models Using Binomial Trees provided by other sites. Please contact the content providers to delete Term-Structure Models Using Binomial Trees if any and email us, we'll remove relevant links or contents immediately. |
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