'Ho lee' presentation slideshows

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1.09k views • 85 slides

Dynamic Term Structure Modelling BDT & other One-factor Models

Dynamic Term Structure Modelling BDT & other One-factor Models. SimCorp Financial Training A/S www.simcorp.com. Agenda. The need for dynamic models Classical dynamic models and various specifications Drawbacks of classical models New insight and modern models The BDT Model in some detail

803 views • 44 slides

A Multi-Factor Binomial Interest Rate Model with State Time Dependent Volatilities

287 views • 28 slides