Porovnat metody
Prohlédněte si vybrané metody vedle sebe; řádky, které se liší, jsou zvýrazněny.
| Model trhu Libor (LMM)× | Model Hull-White× | |
|---|---|---|
| Obor | Kvantitativní finance | Kvantitativní finance |
| Rodina | Regression model | Regression model |
| Rok vzniku≠ | 1997 | 1990 |
| Tvůrce≠ | Alan Brace, Dariusz Gatarek, and Marek Musiela | John C. Hull and Alan White |
| Typ | Interest Rate Model | Interest Rate Model |
| Původní zdroj≠ | Brace, A., Gatarek, D., & Musiela, M. (1997). The market model of interest rate dynamics. Mathematical Finance, 7(2), 127-155. DOI ↗ | Hull, J., & White, A. (1990). Pricing interest-rate-derivative securities. Review of Financial Studies, 3(4), 573-592. DOI ↗ |
| Další názvy | BGM Model, LMM | Extended Vasicek, Generalized Vasicek |
| Příbuzné | 4 | 4 |
| Shrnutí≠ | The LIBOR Market Model (BGM), developed by Brace, Gatarek, and Musiela (1997), is a multi-factor interest rate model that directly models forward LIBOR rates as lognormal processes. Unlike short-rate models, LMM naturally prices caplets at the market level and is the industry standard for valuing caps, floors, and exotic interest rate derivatives. | The Hull-White model (1990) is a one-factor short-rate model with time-dependent mean reversion and volatility, designed to fit the initial yield curve exactly. It generalizes the Vasicek model to allow better calibration to observed bond and derivative prices, and is widely used for pricing interest rate exotics and managing interest rate risk. |
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