- Ho-Lee model
financial mathematics, the Ho-Lee model is a short rate modelto predict future interest rates. It is the simplest model that can be calibrated to market data, by implying the form of from market prices.
The short rate follows a normal process ::
* 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
* [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
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