short-rate model

The instantaneous spot rate is modeled to be a stochastic process that can reprice the zero coupon bonds under risk neutral measure

B(t,T) = EQ[exp(-∫tTrsds)|Ft]

rs can be single factor or multi factor process

reference: http://en.wikipedia.org/wiki/Short-rate_model

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原文地址：https://www.cnblogs.com/xispace/p/3496682.html