Timeline for Why is the mean time-dependent in the Hull-White interest rate model?
Current License: CC BY-SA 3.0
10 events
| when toggle format | what | by | license | comment | |
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| Feb 24, 2016 at 23:11 | answer | added | AFK | timeline score: 1 | |
| Sep 4, 2013 at 3:00 | review | Community Evaluations | |||
| Sep 12, 2013 at 3:00 | |||||
| Aug 3, 2013 at 2:24 | comment | added | Matt Wolf | the choice of model always should be determined by the specific use case. If you model product with a duration of 30-50 years then sure you are most likely right to assume a long-term mean of around 5%. But if you look to model interest rate products with, let's say, 2 years of maturity then you should hardly plug in a 5% rate in this current environment. Hence some models assume a time varying mean. | |
| Aug 2, 2013 at 21:11 | comment | added | tjahrenholz | @MattWolf Thanks for the link. I didn't mean to suggest that rates don't vary with time, but that the rate mean doesn't vary with time. For example, in this chart, rates have an average around 5% | |
| Aug 2, 2013 at 12:14 | answer | added | FQuant | timeline score: 4 | |
| Aug 2, 2013 at 2:46 | comment | added | Matt Wolf | Since when are interest rates insulated from time-varying changes? tradingeconomics.com/united-states/interest-rate (chose the start date to be 1971, long-term enough?) | |
| Aug 1, 2013 at 20:47 | history | tweeted | twitter.com/#!/StackQuant/status/363038390112882688 | ||
| Aug 1, 2013 at 20:25 | history | edited | tjahrenholz | CC BY-SA 3.0 |
added 36 characters in body
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| Aug 1, 2013 at 18:47 | review | First posts | |||
| Aug 2, 2013 at 12:16 | |||||
| Aug 1, 2013 at 18:30 | history | asked | tjahrenholz | CC BY-SA 3.0 |