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| Mô hình Thị trường Libor× | Mô hình Hull-White× | |
|---|---|---|
| Lĩnh vực | Tài chính định lượng | Tài chính định lượng |
| Họ | Regression model | Regression model |
| Năm ra đời≠ | 1997 | 1990 |
| Người khởi xướng≠ | Alan Brace, Dariusz Gatarek, and Marek Musiela | John C. Hull and Alan White |
| Loại | Interest Rate Model | Interest Rate Model |
| Công trình gốc≠ | 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 ↗ |
| Tên gọi khác | BGM Model, LMM | Extended Vasicek, Generalized Vasicek |
| Liên quan | 4 | 4 |
| Tóm tắt≠ | 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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