2 papers
q-fin.PR2020
Performance analysis of Zero Black-Derman-Toy interest rate model in catastrophic events: COVID-19 case study
Grzegorz Krzyżanowski, Andrés Sosa
In this paper we continue the research of our recent interest rate tree model called Zero Black-Derman-Toy (ZBDT) model, which includes the possibility of a jump at each step to a…
econ.EM2019
Zero Black-Derman-Toy interest rate model
Grzegorz Krzyżanowski, Ernesto Mordecki, Andrés Sosa
We propose a modification of the classical Black-Derman-Toy (BDT) interest rate tree model, which includes the possibility of a jump with small probability at each step to a practi…