Analytic Calibration of Black-Karasinski Short Rate Model for Low RatesReportar como inadecuado



 Analytic Calibration of Black-Karasinski Short Rate Model for Low Rates


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We consider calibration of the Black-Karasinski short rate model to a given interest rate (or credit intensity) term structure, conducting an asymptotic analysis in the limit of low rates. We base our analysis on the perturbation expansion approach proposed by Turfus and Shubert (2016). We calibrate the model so as to give consistent representation

Autor: Colin Turfus

Fuente: https://archive.org/







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