Wikipedia:
Ho-Lee model
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 θt from market
prices.
The model
The short rate follows a normal process :
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
| Bond market | |
|---|---|
| Types of bonds by issuer | |
| Types of bonds by payout | |
| Derivatives | |
| Pricing | |
| Yield analysis | |
| Credit and spread analysis | |
| Interest rate models |
Short rate models · Rendleman-Bartter · Vasicek · Ho-Lee · Hull-White · Cox-Ingersoll-Ross · Chen · Heath-Jarrow-Morton · Black-Derman-Toy · Brace-Gatarek-Musiela |
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