Yes, our tree has an interesting shape. The center branches reflect the shape of the zero curve. When extreme parts of the tree are reached the branching pattern changes to accommodate the mean reversion.
John Hull Quotes
The HoLee model was the first term structure model. I remember reading their paper soon after it was published and as it was fairly different from many of the other papers that I had read, I had to read it quite a few times. I realized that it was a really important paper.
Similar Quotes
Cricket is the greatest game that the wit of man has yet devised.
- Sir Pelham WarnerAdvertising is selling Twinkies to adults.
- Donald R. VanceThe struggle of the male to learn to listen to and respect his own intuitive, inner prompt...
- Herb GoldbergEach generation of the church in each setting has the responsibility of communicating the ...
- Francis SchaefferEach had defended his own country; the Germans Germany, the Frenchmen France; they had don...
- Ernst TollerComments on: "John Hull Quotes: The HoLee model was the first term structure model. I remember reading their..."
Share with your friends