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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.
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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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.
Kalotay–Williams–Fabozzi model; L. Lattice model (finance) Longstaff–Schwartz model; R. Rendleman–Bartter model; V. Vasicek model This page was last edited ...
Brownian model of financial markets; Butler-Pinkerton model; C. Capital asset pricing model; ... Kalotay–Williams–Fabozzi model; KMV model; Korn–Kreer–Lenssen ...
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Black model. caps and floors; swaptions; Bond options; Short-rate models. Rendleman–Bartter model; Vasicek model; Ho–Lee model; Hull–White model; Cox–Ingersoll–Ross model; Black–Karasinski model; Black–Derman–Toy model; Kalotay–Williams–Fabozzi model; Longstaff–Schwartz model; Chen model; Forward rate-based models