Rendleman–Bartter model
id:
rendleman-bartter-model-309-17383043
title:
Rendleman–Bartter model
text:
The Rendleman–Bartter model in finance is a short-rate model describing the evolution of interest rates. It is a "one factor model" as it describes interest rate movements as driven by only one source of market risk. It can be used in the valuation of interest rate derivatives. It is a stochastic asset model. The model specifies that the instantaneous interest rate follows a geometric Brownian motion: where Wt is a Wiener process modelling the random market risk factor. The drift parameter, θ ,
brand slug:
wiki
category slug:
encyclopedia
description:
Short-rate model describing the evolution of interest rates
original url:
https://en.wikipedia.org/wiki/Rendleman%E2%80%93Bartter_model
date created:
date modified:
2022-12-04T15:31:13Z
main entity:
{"identifier":"Q7312852","url":"https://www.wikidata.org/entity/Q7312852"}
image:
fields total:
13
integrity:
14