About: Short-rate model

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A short-rate model, in the context of interest rate derivatives, is a mathematical model that describes the future evolution of interest rates by describing the future evolution of the short rate, usually written .

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rdf:type	yago:WikicatShort-rateModels yago:WikicatStochasticModels yago:Assistant109815790 yago:CausalAgent100007347 yago:LivingThing100004258 yago:Model110324560 yago:Object100002684 yago:Organism100004475 yago:Person100007846 yago:PhysicalEntity100001930 yago:Worker109632518 yago:YagoLegalActor yago:YagoLegalActorGeo yago:Whole100003553
rdfs:label	Momentanzinsmodell (de) ショートレートモデル (ja) Short-rate model (en) Диффузионная модель эволюции процентных ставок (ru)
rdfs:comment	Ein Momentanzinsmodell (englisch short rate model) ist ein mathematisches Modell, das die Dynamik des Momentanzinses (englisch short rate) beschreibt. Ziel ist es, durch die Beschreibung des Momentanzinses – häufig als r abgekürzt – die Werte von Nullkuponanleihen P(t,T) für beliebige Zeitpunkte t < T zu erhalten. Die Entwicklung von r(t) wird dabei durch eine oder mehrere stochastische Differentialgleichungen gegeben, wobei man je nach der genauen Form verschiedene Modelle unterscheidet. Die Modelle unterscheiden sich voneinander sowohl durch die Komplexität der Formeln, die bei manchem Modellen eine analytische Formel für Anleihepreise unmöglich macht, als auch durch qualitatives Verhalten des Zinssatzes selbst: Zum Beispiel kann r(t) im Vasicek-Modell negative Werte annehmen. (de) A short-rate model, in the context of interest rate derivatives, is a mathematical model that describes the future evolution of interest rates by describing the future evolution of the short rate, usually written . (en) ショートレートモデル（英: short-rate model）とは、金利デリバティブの文脈において、通常と書かれるショートレートの将来の変動を記述する事によって将来の利子率の変動を表す数理モデルである。 (ja) Диффузионная модель эволюции процентных ставок в финансовой математике — математическая модель описания динамики процентных ставок в форме стохастического дифференциального уравнения диффузионного типа. Семейство моделей процентных ставок очень разнообразно, в него входят однофакторные (модели спот-ставки) и многофакторные модели, а также модели форвардной кривой. Однофакторная модель краткосрочной ставки представляется в виде: где — винеровский процесс Количество факторов, которые можно включать в модель, не ограничено, но из практических соображений обычно используют не более десяти факторов. (ru)
foaf:depiction
dcterms:subject	Interest rates Mathematical finance Short-rate models
Wikipage page ID	1219048 (xsd:integer)
Wikipage revision ID	1117501850 (xsd:integer)
Link from a Wikipage to another Wikipage	Cambridge University Press Princeton University Press Monte Carlo methods in finance Monte Carlo methods for option pricing Vasicek model Binomial options pricing model Arbitrage Robert C. Merton Interest rate John Wiley & Sons Interest rates Salomon Brothers Chen model Ornstein–Uhlenbeck process Stochastic Compound interest Francis Longstaff François-Serge Lhabitant CFA Institute Heath–Jarrow–Morton framework Lattice model (finance) Fischer Black Fixed-income attribution Parameter Eduardo Schwartz Forward rate Kalotay–Williams–Fabozzi model Yield curve Cox–Ingersoll–Ross model State variable Mathematical finance Short-rate models Black–Derman–Toy model Black–Karasinski model Wiener process Zero lower bound Springer Science+Business Media Free parameter Ho–Lee model Hull–White model Longstaff–Schwartz model Mathematical model Mean reversion (finance) Stochastic differential equation Natural filtration Risk-neutral measure Zero-coupon bond Stochastic process Trinomial tree Interest rate derivatives Rendleman–Bartter model Shadow rate Spot rate Martingale measure John Wiley and Sons Instantaneous Journal of Finance Brace–Gatarek–Musiela model Lognormal dbr:Market_model
Link from a Wikipage to an external page	http://www.cmpr.co.kr/asset/research_material/implementing_interest_rate_models.pdf%7C https://web.archive.org/web/20100816021705/http:/www.cmpr.co.kr/asset/research_material/implementing_interest_rate_models.pdf%7C http://econpapers.repec.org/article/anrrefeco/v_3a1_3ay_3a2009_3ap_3a69-96.htm http://www.mth.kcl.ac.uk/finmath/articles/LPH_risk.pdf http://eu.wiley.com/legacy/wileychi/eoas/contents.html http://personal.anderson.ucla.edu/francis.longstaff/empiricalcomparison.pdf%7Ctitle= http://www.ma.hw.ac.uk/~andrewc/papers/ajgc33.pdf http://faculty.maxwell.syr.edu/cdkao/teaching/taiwan/2003/TSMRS.pdf
sameAs	Short-rate model Short-rate model Short-rate model

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