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...

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

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...

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)...

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:...

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...

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

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...

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"...

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

rate List of sovereign states by central bank interest rates Macroeconomics Rate of return Short-rate model Spot rate Fisher, Irving (1907). The Rate...

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...

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...

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 {\displaystyle...

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...

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...

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...

The IS/MP model (Investment–Savings / Monetary–Policy) is a macroeconomic tool which displays short-run fluctuations in the interest rate, inflation and...

Government bond/Sovereign bonds Immunization (finance) Promissory note Short-rate model Penal bond Structured note Syndicated lending Market specific Brady...

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...

models used to simulate the interest-rate see further under Short-rate model; "to create realistic interest rate simulations" Multi-factor short-rate...

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...

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...

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...

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...

specification of the model, the arrows should be labeled with the transition rates between compartments. Between S and I, the transition rate is assumed to be...

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...

rate – the annualized interest rate at which an entity can borrow money for a given period of time; see Short-rate model. For example, for bonds, and bond...