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: 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
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