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An Exposition And Calibration Of The Ho-Lee Model Of Interest Rates, Benjamin I. Lawson
An Exposition And Calibration Of The Ho-Lee Model Of Interest Rates, Benjamin I. Lawson
CMC Senior Theses
The purpose of this paper is to create an easily understandable version of the Ho-Lee interest rate model. The first part analyzes the model in detail, and the second part calibrates it to demonstrate how it can be applied to real market data.