Ho-Lee model


Ho-Lee model

In financial mathematics, the Ho-Lee model is a short rate model to predict future interest rates. It is the simplest model that can be calibrated to market data, by implying the form of heta_t from market prices.

Model

The short rate follows a normal process ::dr_t = heta_t, dt + sigma, dW_t

References

* T.S.Y. Ho, S.B. Lee, "Term structure movements and pricing interest rate contingent claims", "Journal of Finance" 41, 1986
* John C. Hull, "Options, futures, and other derivatives", 5th edition, Prentice Hall, ISBN 0-13-009056-5

External links

* [http://finance.wharton.upenn.edu/~benninga/mma/ho-lee.pdf Valuation and Hedging of Interest Rates Derivatives with the Ho-Lee Model] , Markus Leippold and Zvi Wiener, finance.wharton.upenn.edu


Wikimedia Foundation. 2010.

Look at other dictionaries:

  • Rita Lee (model) — Infobox Playboy Playmate imagesize = 150px caption = name = Rita Lee issue = November 1977 birthname = birthplace = Frederic, Wisconsin, United States birthdate = Birth date and age|1953|6|15|mf=y deathdate = deathplace = bust = 36 waist = 23… …   Wikipedia

  • Area to Area Lee Model — Lee Model for Area to Area Mode is a Radio propagation model that operates around 900 MHz. Built as two different modes, this model includes an adjustment factor that can be adjusted to make the model more flexible to different regions of… …   Wikipedia

  • Point to Point Lee Model — Lee Model for Point to Point Mode is a radio propagation model that operates around 900 MHz. Built as two different modes, this model includes an adjustment factor that can be adjusted to make the model more flexible to different regions of… …   Wikipedia

  • Lee-Metford — Infobox Weapon name=Magazine Lee Metford Rifle caption= origin=flagcountry|United Kingdom type=Service rifle is ranged=yes is UK=yes service=1888 1926 used by=United Kingdom Colonies wars=Boer War, various Colonial conflicts designer=James Paris… …   Wikipedia

  • Lee Williams — (born April 3, 1974) is a Welsh actor and former model. Williams was the face of French Connection TV, and has worked as a model for designers such as Vivienne Westwood and Calvin Klein. Early life Lee Williams was born in Bangor, Wales, [… …   Wikipedia

  • Model (manhwa) — Model Cover of the Tokyopop edition of Model vol. 1 (2008). Art by Lee So young. 모델 (Model) Genre …   Wikipedia

  • Model Behavior — Título Casi iguales (México) Sueños cambiados (España) Ficha técnica Dirección Mark Rosman Producción Jack Brodsky Ronald E. Frazier …   Wikipedia Español

  • Lee E. Brasseur — Lee Ellen Brasseur (born 1949) is an American Professor Department of English at the Illinois State University, and expert in the field of visualization, known from her 2003 book Visualizing Technical Information: A Cultural Critique . Biography… …   Wikipedia

  • Lee Min-ho — (2010) Koreanische Schreibweise Siehe auch: Koreanischer Name Koreanisches Alphabet …   Deutsch Wikipedia

  • Lee So-young — 이소영 Nationalité Sud coréenne Date 31 août 1973 (1973 08 31) (38 …   Wikipédia en Français


Share the article and excerpts

Direct link
Do a right-click on the link above
and select “Copy Link”

We are using cookies for the best presentation of our site. Continuing to use this site, you agree with this.