short-rate model

The instantaneous spot rate is modeled to be a stochastic process that can reprice the zero coupon bonds under risk neutral measure

B(t,T) = EQ[exp(-∫tTrsds)|Ft]

rs can be single factor or multi factor process

reference: http://en.wikipedia.org/wiki/Short-rate_model

posted @ 2013-12-29 19:27  LevyFan  阅读(397)  评论(0编辑  收藏  举报