CIR Interest Rate Model – Appropriate Time Step
2 mins read
What is the appropriate time step to use in estimating […]
BDT interest rate model – Limitations with EXCEL’s Solver Functionality and Workaround
3 mins read
A key element in the construction of the Black Derman […]
Using US Treasuries to calibrate the Black Derman Toy (BDT) Model
5 mins read
The Black Derman Toy (BDT) model is a one-factor, no-arbitrage […]
Practice Test Exam Solution – Bootstrapping Forward Curve Case Study
6 mins read
Practice Test Exam Solution. Bootstrapping forward curve. Here is abbreviated partial […]
Cox-Ingersoll-Ross. CIR model. Parameter calibration & simulation
5 mins read
CIR Model – Parameter Calibration and short rate simulation The […]
Addendum: How to conduct a Principal Component Analysis in EXCEL
2 mins read
Addendum: How to conduct a Principal Component Analysis in EXCEL […]