Add to ORKGIn this paper we propose a computationally efficient implementation of general one factor short rate models with a trinomial tree. We improve the Hull-White's procedure to calibrate the tree to bond prices by circumventing the forward rate induction and numerical root search algorithms. Our calibration procedure is based on forward measure changes and is as general as the Hull-White procedure, but it offers a more efficient and flexible method of constructing a trinomial term structure model. It can be easily implemented and calibrated to both prices and volatilitie
Based on the Hull-White single-factor tree building approach, respective trinomial trees are constru...
In this paper, we explore two new tree lattice methods, the piecewise binomial tree and the piecewi...
This paper provides an accessible description and several examples of how to use Monte-Carlo simulat...
In this paper we propose a computationally efficient implementation of general one factor short rate...
In this article we discuss the implementation of general one-factor short rate models with a trinomi...
Term structure models are widely used to price interest-rate derivatives such as swaps and bonds wit...
this article we implement the trinomial tree of the Hull-White model, which can be easily extended t...
We explore calibration of single factor no-arbitrage short rate models to yield and volatility infor...
Based on the Hull-White single-factor tree building approach, respective trinomial trees are constru...
Hull and White extend Ho and Lee's no-arbitrage model of the short interest rate to include mean rev...
Title: Pricing of the debt instruments with embedded options Author: Bc. Matúš Jambor Department: De...
The Black-Karasinski model is a short rate model that assumes the short-term interest rates to be lo...
Abstract. This thesis gives an overview of short-rate models in term structure modeling of interest ...
This thesis deals with interest rate trees, their construction and use in pricing. At the beginning,...
This paper is a case study, documenting work completed for Institut fur betriebswirtschaftliche Bera...
Based on the Hull-White single-factor tree building approach, respective trinomial trees are constru...
In this paper, we explore two new tree lattice methods, the piecewise binomial tree and the piecewi...
This paper provides an accessible description and several examples of how to use Monte-Carlo simulat...
In this paper we propose a computationally efficient implementation of general one factor short rate...
In this article we discuss the implementation of general one-factor short rate models with a trinomi...
Term structure models are widely used to price interest-rate derivatives such as swaps and bonds wit...
this article we implement the trinomial tree of the Hull-White model, which can be easily extended t...
We explore calibration of single factor no-arbitrage short rate models to yield and volatility infor...
Based on the Hull-White single-factor tree building approach, respective trinomial trees are constru...
Hull and White extend Ho and Lee's no-arbitrage model of the short interest rate to include mean rev...
Title: Pricing of the debt instruments with embedded options Author: Bc. Matúš Jambor Department: De...
The Black-Karasinski model is a short rate model that assumes the short-term interest rates to be lo...
Abstract. This thesis gives an overview of short-rate models in term structure modeling of interest ...
This thesis deals with interest rate trees, their construction and use in pricing. At the beginning,...
This paper is a case study, documenting work completed for Institut fur betriebswirtschaftliche Bera...
Based on the Hull-White single-factor tree building approach, respective trinomial trees are constru...
In this paper, we explore two new tree lattice methods, the piecewise binomial tree and the piecewi...
This paper provides an accessible description and several examples of how to use Monte-Carlo simulat...