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Interest Rates and FX Models PDF

12 Pages·2017·English
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by ['bobmezz']| 2017| 12 pages| English

About Interest Rates and FX Models

This document discusses short rate models for modeling interest rates. It begins by introducing term structure modeling and focusing on short rate models. [1] It then describes Vasicek's model, noting that it exhibits mean reversion of interest rates over time. [2] The document extends Vasicek's model to the one-factor Hull-White model, which allows the mean reversion level to vary over time based on a given yield curve. [3] This addresses some limitations of Vasicek's model.

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Author:['bobmezz']
Publication Year:2017
Pages:12
Language:English
Format:PDF
Price:FREE
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