Eddy diffusion - Revision history

en>Fraggle81: Reverted 1 edit by 80.66.187.148 identified using STiki

2014-06-15T13:58:30Z

Reverted 1 edit by 80.66.187.148 identified using STiki

← Older revision		Revision as of 15:58, 15 June 2014
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	~~The '''Rendleman–Bartter model''' (Richard J. Rendleman~~, ~~Jr.~~ and ~~Brit J~~. ~~Bartter) in [[Mathematical finance\|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 derivative]]s~~. It is ~~a [[stochastic asset model]]~~.		I would like to introduce myself to you, I am Andrew and my spouse doesn't like it at all. Ohio is where her home is. I am an invoicing officer and I'll be promoted quickly. The preferred hobby for him and his children is fashion and he'll be starting something else along with it.<br><br>Also visit my weblog ... [http://myfusionprofits.com/groups/find-out-about-self-improvement-tips-here/ best psychic readings]

	~~The model specifies that the [[instantaneous interest rate]] follows a [[geometric Brownian motion]]:~~

	~~:<math>dr_t = \theta r_t\,dt + \sigma r_t\,dW_t</math>~~

	~~where ''W~~<~~sub~~>t<~~/sub~~>~~'' is a [[Wiener process]] modelling the random market risk factor~~. The drift parameter, <math>\theta</math>, represents a constant expected instantaneous rate of change in the interest rate, while the [[standard deviation]] parameter, <math>\sigma</math>, determines the [[Volatility (finance)\|volatility]] of the interest rate.

	~~This is one of the early models of the short term interest rates, using the same [[stochastic process]] as the one already used to describe the dynamics of the underlying price in [[stock options]]~~. ~~Its main disadvantage is that it does not capture the~~ [~~[mean reversion]] of interest rates (their tendency to revert toward some value or range of values rather than wander without bounds in either direction)~~.

	~~Note that in 1979 Rendleman~~-~~Bartter also published a version of the [[Binomial options pricing model]] . ("Two~~-~~State Option Pricing". Journal of Finance 24: 1093~~-~~1110.)~~

	~~==References==~~
	*{{cite book \| author=Hull, John C. \| title=Options, Futures and Other Derivatives\| year=2003 \| publisher = Upper Saddle River, NJ: [[Prentice Hall]] \| isbn = 0-13-~~009056~~-~~5}}~~
	*{{cite journal \| author=Rendleman, R. and B. Bartter \| title=The Pricing of Options on Debt Securities \| journal=Journal of Financial and Quantitative Analysis\| year=1980 \| volume=15 \| pages=11–24 \| doi=10.2307/~~2979016}}~~

	~~{{DEFAULTSORT:Rendleman-Bartter model}}~~
	~~[[Category:Finance theories]]~~
	~~[[Category:Interest rates]]~~
	~~[[Category:Short-rate models]~~]

128.198.218.96: added multipath

2013-05-13T21:00:54Z

added multipath

← Older revision		Revision as of 23:00, 13 May 2013
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	~~Oscar is how he~~'~~s known as~~ and ~~he completely enjoys this title~~. ~~For years I've been working~~ as ~~a payroll clerk~~. ~~Years~~ in the ~~past we moved to North Dakota~~. ~~What I adore doing~~ is ~~to gather badges but I~~'~~ve been taking on new issues lately~~.<br><br>~~Also visit my web site~~ :: [~~http://www~~.~~animecontent~~.~~com~~/~~blog/124234 at home std testing~~]		The '''Rendleman–Bartter model''' (Richard J. Rendleman, Jr. and Brit J. Bartter) in [[Mathematical finance\|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 derivative]]s. It is a [[stochastic asset model]].

			The model specifies that the [[instantaneous interest rate]] follows a [[geometric Brownian motion]]:

			:<math>dr_t = \theta r_t\,dt + \sigma r_t\,dW_t</math>

			where ''W<sub>t</sub>'' is a [[Wiener process]] modelling the random market risk factor. The drift parameter, <math>\theta</math>, represents a constant expected instantaneous rate of change in the interest rate, while the [[standard deviation]] parameter, <math>\sigma</math>, determines the [[Volatility (finance)\|volatility]] of the interest rate.

			This is one of the early models of the short term interest rates, using the same [[stochastic process]] as the one already used to describe the dynamics of the underlying price in [[stock options]]. Its main disadvantage is that it does not capture the [[mean reversion]] of interest rates (their tendency to revert toward some value or range of values rather than wander without bounds in either direction).

			Note that in 1979 Rendleman-Bartter also published a version of the [[Binomial options pricing model]] . ("Two-State Option Pricing". Journal of Finance 24: 1093-1110.)

			==References==
			*{{cite book \| author=Hull, John C. \| title=Options, Futures and Other Derivatives\| year=2003 \| publisher = Upper Saddle River, NJ: [[Prentice Hall]] \| isbn = 0-13-009056-5}}
			*{{cite journal \| author=Rendleman, R. and B. Bartter \| title=The Pricing of Options on Debt Securities \| journal=Journal of Financial and Quantitative Analysis\| year=1980 \| volume=15 \| pages=11–24 \| doi=10.2307/2979016}}

			{{DEFAULTSORT:Rendleman-Bartter model}}
			[[Category:Finance theories]]
			[[Category:Interest rates]]
			[[Category:Short-rate models]]

en>Zorrobot: r2.5.2) (Robot: Adding nn:Eddy-diffusjon

2012-02-18T10:51:26Z

r2.5.2) (Robot: Adding nn:Eddy-diffusjon

New page

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