Ho-Lee model

Encyclopedia : H : HO : HOL : Ho-Lee model

To meet Wikipedia's and make it more accessible to a general audience, this article may require [Cleanupcleanup].
The introduction to this article provides insufficient context for those unfamiliar with the subject matter.
Please help Wikipedia by improving the introduction according to the guidelines laid out at [Guide to layout]. You can discuss the issue on the .

In financial mathematics, the Ho-Lee model is a Short rate model of future interest rates. It is the simplest model that can be calibrated to market data, by implying the form of [\theta_t] from market prices.

The model

The short rate follows a normal process :

[dr_t = \theta_t\, dt + \sigma\, dW_t]

From Wikipedia, the Free Encyclopedia. Original article here. Support Wikipedia by contributing or donating.
All text is available under the terms of the GNU Free Documentation License See Wikipedia Copyrights for details.