The Ho-Lee Short Interest Rate Model
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14310%2F11%3A00059097" target="_blank" >RIV/00216224:14310/11:00059097 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
The Ho-Lee Short Interest Rate Model
Original language description
This report deals with a mathematical model of short-term interest rate, the Ho Lee model. First we recall the notions of instantaneous rate, forward rate and basic concepts of stochastics analysis, then we present the model. The final part contains an aplication, describing the use of the model for prediction of the curve of forward rates.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BA - General mathematics
OECD FORD branch
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Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
7. konference o matematice a fyzice na vysokých školách technických s mezinárodní účastí : Sborník příspěvků část 1 - matematika
ISBN
9788072318155
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
213-218
Publisher name
Univerzita obrany
Place of publication
Brno
Event location
Brno
Event date
Jan 1, 2011
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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