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The Kalotay–Williams–Fabozzi model (1993) has the short rate as = +, a lognormal analogue to the Ho–Lee model, and a special case of the Black–Derman–Toy model. [18] This approach is effectively similar to "the original Salomon Brothers model" (1987), [ 19 ] also a lognormal variant on Ho-Lee.
Financial models This page was last edited on 9 May 2018, at 08:39 (UTC) . Text is available under the Creative Commons Attribution-ShareAlike 4.0 License ; additional terms may apply.
He is a co-developer of the Kalotay–Williams–Fabozzi model [10] of the short rate, used in the valuation of interest rate derivatives. He is on the Advisory Council for the Department of Operations Research and Financial Engineering at Princeton University and an affiliated professor at the Institute of Statistics and Economics [ 11 ] at ...
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For both of these reasons, models such as Black–Derman–Toy (lognormal and mean reverting) and Hull–White (mean reverting with lognormal variant available) are often preferred. [1]: 385 The Kalotay–Williams–Fabozzi model is a lognormal analogue to the Ho–Lee model, although is less widely used than the latter two.
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Kalotay has also made numerous contributions to the quantitative analysis of option-adjusted spread (OAS), interest rate derivatives, and mortgage-backed securities (MBS); he is an author of the Kalotay–Williams–Fabozzi model. [4] In 1997, he was inducted into the Fixed Income Analysts Society's Hall of Fame.