Statements (23)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:financial_technology
interest rate model |
| gptkbp:assumes |
lognormal short rate
recombining binomial tree |
| gptkbp:calibratedTo |
volatility structure
yield curve |
| gptkbp:category |
short-rate model
|
| gptkbp:developedBy |
gptkb:Fischer_Black
gptkb:Emanuel_Derman gptkb:William_Toy |
| https://www.w3.org/2000/01/rdf-schema#label |
Black-Derman-Toy model
|
| gptkbp:implementedIn |
quantitative finance software
|
| gptkbp:introducedIn |
1990
|
| gptkbp:market |
fixed income
|
| gptkbp:publishedIn |
gptkb:Financial_Analysts_Journal
|
| gptkbp:relatedTo |
gptkb:Heath-Jarrow-Morton_framework
gptkb:Hull-White_model |
| gptkbp:stochasticProcess |
short rate
|
| gptkbp:type |
one-factor model
|
| gptkbp:usedFor |
pricing bonds
pricing interest rate derivatives |
| gptkbp:bfsParent |
gptkb:Fischer_Black
|
| gptkbp:bfsLayer |
5
|