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- 2017-07-02 发布于福建
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5. Short rate models
Andrew Lesniewski
March 3, 2008
Contents
1 Term structure modeling 1
2 Vasicek’s model and its descendants 2
2.1 Modeling mean reversion of rates . . . . . . . . . . . . . . . . . 2
2.2 One-factor Hull-White model . . . . . . . . . . . . . . . . . . . . 4
2.3 Two-factor Hull-White model . . . . . . . .
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