Statements (23)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
interest rate model
|
| gptkbp:assumes |
interest rates are always positive
|
| gptkbp:calibratedTo |
cap/floor prices
swaption prices yield curves |
| gptkbp:category |
short-rate model
|
| gptkbp:dynamics |
drift and volatility functions
|
| gptkbp:form |
d ln(r) = θ(t) - a ln(r) dt + σ dW
|
| https://www.w3.org/2000/01/rdf-schema#label |
Black-Karasinski model
|
| gptkbp:implementedIn |
gptkb:QuantLib
|
| gptkbp:introducedIn |
1991
|
| gptkbp:namedAfter |
gptkb:Fischer_Black
Piotr Karasinski |
| gptkbp:processor |
mean-reverting
|
| gptkbp:relatedTo |
gptkb:Hull-White_model
gptkb:Vasicek_model |
| gptkbp:shortRateProcess |
lognormal
|
| gptkbp:type |
one-factor model
|
| gptkbp:usedFor |
modeling short-term interest rates
|
| gptkbp:usedIn |
fixed income analytics
derivatives pricing |
| gptkbp:bfsParent |
gptkb:Hull-White_model
|
| gptkbp:bfsLayer |
7
|