Analytic Calibration of Black-Karasinski Short Rate Model for Low RatesReport as inadecuate



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


Analytic Calibration of Black-Karasinski Short Rate Model for Low Rates - Download this document for free, or read online. Document in PDF available to download.

Download or read this book online for free in PDF: Analytic Calibration of Black-Karasinski Short Rate Model for Low Rates
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

Author: Colin Turfus

Source: https://archive.org/







Related documents