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Tag Archives: Interest Rate Models

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Interest Rate Modelling Posts Index

INTEREST RATE MODELLING Interest Rate Modelling: Introduction Interest Rate Forecasting: Using CIR (Cox Ingersoll Ross) Model: Introduction Interest Rate Forecasting: Using CIR (Cox Ingersoll Ross) Model: Estimating Parameters & Calibrating the CIR Model Interest Rate Forecasting: Using CIR (Cox Ingersoll Ross) Model: Simulating the term

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Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: Define Calculation Cells: Construct State Price Lattices

In this post we continue with the definition of the calculation cells of the Black-Derman-Toy (BDT) model in EXCEL. Three state prices lattices are constructed. Define Calculation Cells b. Construct State Price Lattices The BDT model assumes that the short-term interest rates are log-normally distributed

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