以下是引用tangjie在2006-8-20 17:08:00的发言： 还有Black-Karasinski interest-rate tree
HJM interest-rate tree
Hull-White interest-rate tree
如果说起来很麻烦的话告诉我在哪儿或哪本书上能找到相关概念也行
多谢了:)
BDT: Black-Derman-Toy
Check Hull's book for an introduction of short rate models. Brigo & Mercurio is modern, comprehensive and rigorous. Rebonato has a book on Libor Market Model.
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