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In this chapter, we extend our study of interest rate models beyond the single-factor frameworks explored earlier, moving into multi-factor and advanced stochastic models. These models provide a richer and more flexible representation of interest rate dynamics, making them especially valuable for pricing complex derivatives and capturing realistic term structure behaviors.

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Multi-factor Interest Rate Models: G2++, Hull–White, Libor Market Model, and Ho–Lee Applications

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  • 发表日期：

    2025年

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  • Aaron De La Rosa

摘要

In this chapter, we extend our study of interest rate models beyond the single-factor frameworks explored earlier, moving into multi-factor and advanced stochastic models. These models provide a richer and more flexible representation of interest rate dynamics, making them especially valuable for pricing complex derivatives and capturing realistic term structure behaviors.