One Factor Gaussian Short Rate Model Implementation

6 Pages Posted: 15 Apr 2013

Date Written: March 1, 2013

Abstract

We collect some results in Piterbarg, Interest Rate Modelling, needed for the implementation of a GSR model. We develop explicit formulas for piecewise constant volatility and reversion parameters under the forward measure.

Keywords: One Factor Gaussian Short Rate Model, Hull White Model

JEL Classification: C00

Suggested Citation

Caspers, Peter, One Factor Gaussian Short Rate Model Implementation (March 1, 2013). Available at SSRN: https://ssrn.com/abstract=2246013 or http://dx.doi.org/10.2139/ssrn.2246013

Peter Caspers (Contact Author)

Acadia - An LSEG Business ( email )

United States

HOME PAGE: http://acadia.inc

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