Interest-rate models
Short-rate models and forward-rate models: Vasicek, CIR, Hull–White, HJM and the LIBOR market model.
5 planned
No page in this subject is open yet. The planned list below shows what is coming, in learning order.
Planned
In learning order. These are not pages yet.
- How Vasicek mean reversion shapes short ratesAdvanced undergrad
- When does a CIR short rate stay positive?Graduate
- How the LIBOR market model prices caplets and swaptions togetherGraduate
- How Hull-White fits today's discount curveGraduate
- How the HJM drift condition ties forward-rate drift to volatilityGraduate
How it connects
Builds on Bonds and interest rates Arbitrage and risk-neutral pricing Stochastic processes Stochastic calculus and SDEs Hedging and calibration Derivatives
Leads to none
Subjects marked “connection” are linked by a related idea, not by a prerequisite.