https://gdpark.blog/tags/interest-rate-models/Recent content in Interest Rate Models on gdpark.blogHugoenMon, 16 Dec 2024 00:00:00 +0000https://gdpark.blog/posts/cfa-l2-11-binomial-trees-part-2/Mon, 16 Dec 2024 00:00:00 +0000https://gdpark.blog/posts/cfa-l2-11-binomial-trees-part-2/This time we build the interest rate tree from scratch — calibration, e^{2σ} forward-rate spacing, and all — then value it via backward induction or pathwise.https://gdpark.blog/posts/cfa-l2-12-term-structure-models-cir-vasicek-ho-lee-and-kwk/Mon, 16 Dec 2024 00:00:00 +0000https://gdpark.blog/posts/cfa-l2-12-term-structure-models-cir-vasicek-ho-lee-and-kwk/A rundown of CIR, Vasicek, Ho-Lee, and KWK — what makes each term structure model tick and the key characteristics you actually need to nail for the exam.