Ho–Lee model: Difference between revisions
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In [[financial mathematics]], the '''Ho-Lee model''' is a [[Short rate model]] of future [[interest rate]]s. It is the simplest model that can be calibrated to market data, by implying the form of <math>\theta_t</math> from market prices. |
In [[financial mathematics]], the '''Ho-Lee model''' is a [[Short rate model]] of future [[interest rate]]s. It is the simplest model that can be calibrated to market data, by implying the form of <math>\theta_t</math> from market prices. |
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[[Category:Mathematical finance]] |
[[Category:Mathematical finance]] |
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this is very true. |
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Revision as of 20:22, 20 July 2006
--38.117.162.243 20:22, 20 July 2006 (UTC)
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In financial mathematics, the Ho-Lee model is a Short rate model of future interest rates. It is the simplest model that can be calibrated to market data, by implying the form of from market prices.
The model
The short rate follows a normal process :
 | This economics-related article is a stub. You can help Wikipedia by expanding it. |
this is very true.