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Quantitative Finance · Glosario

¿Qué es Short-rate model?

Definition 7.1 Rates, Credit, XVA and Risk · Capítulo 7 — Short-Rate Models

A short-rate model specifies the dynamics of the instantaneous rate rtr_t under the risk-neutral measure Q\mathbb Q (One Quant Book 4, chapter 5), and prices every zero-coupon bond as P(t,T)=EtQ[exp⁡(−∫tTrs ds)]P(t,T) = \E^{\mathbb Q}_t\bigl[\exp(-\int_t^Tr_s\,ds)\bigr].

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