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Topic: Short rate model

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	Model Railroads: power bus short
		I have been employed by five model railroad equipment manufacturers/suppliers and worked for a prototype railroad.
		I have served, twice, as the president of a local model railroad club.
		In DC circuitry if one is using turnouts with electronically live, metal frogs one must be careful that the turnout is feed solely from the single end of the switch and the inner rails of the divergent routes are protected by insulators if the tracks lead to other routes as in a loop or crossover.
	en.allexperts.com /q/Model-Railroads-2372/power-bus-short.htm (430 words)

	Online Encyclopedia and Dictionary - Short rate model
		In the context of interest rate derivatives, a short rate model is a mathematical model that describes the future evolution of interest rates by describing the future evolution of the short rate.
		Specifying the current short rate does not specify the entire yield curve.
		Whilst the two frameworks are actually equivalent in scope for modelling interest rates with one source of uncertainty (one driving Brownian motion), the latter, including as it does the Brace-Gatarek-Musiela model and market models, are often preferred for models of higher dimension.
	www.fact-archive.com /encyclopedia/Short_rate_model (265 words)

	NWS Louisville: Model Characteristics (Site not responding. Last check: 2007-09-16)
		This model is superior to the NGM/AVN in forecasting the southward extent and rate of movement of Arctic airmasses across the middle of the country, east of the Rockies (especially seen by utilizing model predicted boundary-layer static stabilities).
		The model tends to have a wet bias, i.e., areal extents of precipitation often are overforecast, especially light amounts.
		For example, this model "likes" to retrograde mid/upper tropospheric western North American ridges to the point that the response of the flow regime across the US is a "flip-flop", from a western ridge/eastern trough to western trough/eastern ridge.
	www.crh.noaa.gov /lmk/soo/docu/models.php (1632 words)

	Hull-White Model Introduction
		The model assumes that the short-term rate is normally distributed and subject to mean reversion.
		In practice, the Hull-White model is calibrated by choosing the mean reversion rate and short rate standard deviation in such a way so that they are consistent with option prices observed in the marketplace.
		The yield curve environment is defined in the Hull-White model by three inputs: a) the zero curve, b) the standard deviation of the short rate, and c) the mean reversion rate [the latter two parameters combine to create the effective volatility].
	www.powerfinance.com /help/Hull_White_Model_Introduction.htm (901 words)

	CMS BondEdge-fixed income portfolio and credit risk analytics
		The Ho-Lee model is an early example of arbitrage-free modeling of the forward-rate dynamics.
		We remark that a general HJM model is non-Markovian, i.e., an ‘up’ move for the yield curve followed by a ‘down’ move does not lead to the same result as a ‘down’ move followed by an ‘up’ move.
		Since the HJM model is a class of general arbitrage-free interest-rate term structures, we also need to specify the volatility structure in the implementation.
	www.cmsbondedge.com /fi_articles/fi_HJM_interestRate2.html (1293 words)

	Sustainable Public Debt
		The model accounts for the effect of taxation and primary spending levels on the sustainable debt ceiling, yet is indifferent to the measures taken by government, either through taxation or spending, to redress an unsustainable debt.
		Finally, the model also suggests that the “crowding out effect” obtains from non-sustainability and is lower-bound by the debt in excess of the sustainability ceiling, which should be considered the sum of capital with less-than-adequate socioeconomic return.
		Implied forward rates in liquid, efficient debt markets supposes an equivalency between short and longer term interest rates that render the term structure of a government’s debt (i.e., short term versus long term borrowing) irrelevant when one considers inflation – and, thus, interest rates – a strictly monetary phenomenon directly effected by public finance.
	mywebpages.comcast.net /mzobian/staticmodel (2709 words)

	GIN Seas / Arctic Ocean Model
		For the model calculations, the area was devided into the Greenland Sea, the Norwegian Sea, and the Eurasian Basin of the Arctic Ocean.
		For CFCs and 85Kr a 85 % equilibration rate with the atmosphere is assumed for BS and the surface water in the Greenland Sea.
		It is possible to reproduce the CFC measurements of the 1980s by a model simulation assuming a deep water formation rate of 0.5 Sv for the time period between 1975 and 1980 only (and 0.1 Sv before and afterwards).
	www.ldeo.columbia.edu /~noblegas/gerhard/Model/model1.html (803 words)

	6. The Stochastic Equations of the ROW Model
		For the quarterly countries the expected rate of inflation was taken to be the actual rate of inflation during the past four quarters, and for the annual countries it was taken to be the inflation rate (at an annual rate) during the past two years.
		The basic structure of the ROW model has, however, remained the same between the previous version and the current version, and some of the discussion in the following sections is similar to the discussion of the previous version in Sections 4.2.5 and 4.2.6 in Fair (1984).
		Similarly, the use of the relative interest rate in equation 6.6 is consistent with the theoretical model, where a fall in the relative interest rate led to a depreciation.
	fairmodel.econ.yale.edu /mm/MM6.HTM (7456 words)

	Description of Models
		The outlook for NCEP global models after 1998 is that they will have a horizontal resolution of about 20 to 40 km and will run through 72 hours in the case of the AVN and through 7 days for the MRF.
		The resolution of this model will be one degree in the open ocean and 0.25 to 0.5 degree in selected regions along the East and West Coasts, the Gulfs of Alaska and Mexico, and in the area around Hawaii.
		This can be combined with adaptive model output statistics in which the model forecast is used to predict the analysis, requiring short training periods.
	www.unidata.ucar.edu /data/models.html (1905 words)

	[No title]
		The model is solved monthly to provide an outlook of the electricity market over the 24 to 36 months subsequent to the RSTEO publication date, and it tracks exogenously changes in electricity generating capacity over the forecasting period.
		One advantage of the new modeling framework is the capability to show the relationship between electricity consumption and utility fuel use according to a dispatch algorithm and the subsequent link to the fuel markets and renewable supply resources.
		The example demonstrates that the model is flexible enough to capture the power flow on the basis of marginal cost of generation and the shape of load curve.
	www.eia.doe.gov /smg/asa_meeting_2004/fall/files/stelecmodel.doc (3768 words)

	Exponential Models - Constant Growth Rate Model
		While a linear function can be used to model population growth that has a constant increase or decrease in the number of people, an exponential function can be used to model population growth that has a constant percentage change in population.
		Since the average annual percent change in a population (growth rate) is often relatively constant during a short period of time, it is not uncommon to fit an exponential model to population data.
		Population, Housing Units, Area Measurements, and Density: 1790-1990 that you previously assembled and the average annual growth rates that you calculated, record the national population for any year prior to 1970 and the average growth rate for that year.
	k12science.org /curriculum/popgrowthproj/activity7.html (480 words)

	Interest Rate Modeling: A Conscientious Choice
		We propose valuing mortgages using the HW model, which can be quickly and accurately calibrated to both the yield curve and the swaption volatility matrix.
		The rates, therefore, cannot become negative, and their randomness should be naturally and steadily measured by relative volatility.
		For a lognormal model, CEV is equal to 1, and the skew does not exist.
	www.fenews.com /fen30/one_time_articles/interest_rate_modeling.html (1018 words)

	MarketGauge by Dataview, LLC (Site not responding. Last check: 2007-09-16)
		The discount rate is one of the most important tools of the Federal Reserve.
		As a result, movements in the discount rate are widely analyzed for insight into the future direction of Fed policy, the economy, interest rates and the stock market.
		When the Fed changes direction from raising rates to lowering rates, the model becomes a +2.
	tal.marketgauge.com /dvmgPro/uguide/DRATES.HTM (355 words)

	Re: Black Derman &Toy for long term maturities
		The short rate is the interest rate over the shortest measured period and is intended to approximate the instantaneous rate of return.
		While you may be able to model a 30y rate based on observations of the ON, the connection with reality becomes rather tenuous.
		This is why multi-factor models have been developed that allow modeling of sets of interest rate processes distributed across the term structure.
	www.contingencyanalysis.com /archive/archive01-1/00000b2c.htm (228 words)

	SSRN-A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk by Richard Stanton
		Due to the "aliasing problem", which tells us that the drift and diffusion of the short rate process are not identifiable given only discretely sampled data, previous authors have parameterized at least one of the drift and diffusion functions, leaving open the possibility of misspecification.
		These approximations are identifiable using only discretely observed data, and for some common parametric models, we find that the approximations are almost indistinguishable from the true drift and diffusion when the sampling frequency is monthly or greater.
		We explicitly estimate the functional relationship between the market price of interest rate risk and the level of interest rates, using daily excess returns on 6 month vs. 3 month Treasury Bills over the period January 1965 - July 1995, and combine this with the estimated short rate model to price interest rate dependent securities.
	papers.ssrn.com /sol3/papers.cfm?abstract_id=6751 (350 words)

	Short-Duration Gamma-Ray Bursts
		In short bursts, the energy conversion rate appears to decrease as the burst progresses.
		Since GRBs occur along an axis, as opposed to an expanding spherically, their lower power and lack of afterglow could simply be the observational "selection effect" whereby the Earth is at the very edge of the GRB "cone" and so astronomers only weakly detect the burst.
		In this way, short duration GRBs and their less energetic X-ray counterpart, the X-ray flash (XRF) -- are both "really" both regular (long-duration) GRBs, as seen from a glancing angle.
	imagine.gsfc.nasa.gov /docs/science/know_l1/short_grbs.html (484 words)

	[No title] (Site not responding. Last check: 2007-09-16)
		A single factor, analytic model used to value interest rate dependent claims.
		The single factor is the lognormally distributed short rate.
		This model is often used to value swaptions.
	www.amex.com /servlet/AmexFnDictionary?pageid=display&titleid=701 (29 words)

	Exchange Rate Determination
		When the ¥1 million payment is due by the importer, the importer also takes delivery of the ¥1 million yen as given by the forward contract in exchange for $10,000.
		exchange rate risk - since the assets are denominated in yen, but the value of these assets are reported in dollars, a depreciation of the yen will reduce the NAV of the portfolio even if the yen value of the portfolio remains constant.
		If instead the yen were to appreciate, the currency trading losses are offset by the increased dollar value of the portfolio due to the yen's appreciation.
	www.colorado.edu /Economics/courses/econ2020/6550/exchange-rates.html (922 words)

	Gordon Growth Model
		A model for determining the intrinsic value of a stock, based on a future series of dividends that grow at a constant rate.
		Given a dividend per share that is payable in one year, and the assumption that the dividend grows at a constant rate in perpetuity, the model solves for the present value of the infinite series of future dividends.
		Because the model simplistically assumes a constant growth rate, it is generally only used for mature companies (or broad market indices) with low to moderate growth rates.
	www.investopedia.com /terms/g/gordongrowthmodel.asp (324 words)

	Looking for lower new-car loan rate
		What's meant by a short period of time is roughly over a four-week time period.
		The assumption used in the credit scoring model is that you aren't buying several homes or several cars, so it's fairly evident that you are comparison shopping.
		While the survey results show rates for a borrower with a higher credit score than yours, some of these lenders have loan programs for people with lower credit scores that will still be much more competitive than the rates dealers have shown you so far.
	www.bankrate.com /brm/news/DrDon/20050311a1.asp (467 words)

	SSRN-Optimal Portfolios with Stochastic Short Rate: Pitfalls when the Short Rate is Non-Gaussian or the Market Price of ...
		Even for the seemingly innocent Gaussian model, the problem may explode in a certain sense if the market price of risk is unbounded.
		From an economic point of view, in this case the model does not exhibit a partial equilibrium indicating that, for instants, the time-preferences of the investor are not properly modeled.
		Above all, we strongly emphasize that it is not straightforward to generalize the existing results on continuous-time portfolio optimization to the case of a Non-Gaussian stochastic short rate or to a Gaussian term structure with unbounded market price of risk.
	papers.ssrn.com /sol3/papers.cfm?abstract_id=666385 (394 words)

	Short hairstyles by TheHairStyler.com.
		Everyday we have many people contacting us to say how they used their uploaded photo to find a short hair cut from our short hairstyles library and finally took the big step.
		This is a great short hairstyle for medium to thick hair texture that is also good for wavy to curly hair.
		This is a brilliant short hairstyle for naturally curly hair types, featuring lovely angled layering throughout.
	www.thehairstyler.com /short_hairstyles.asp (465 words)

	Dynamics of Short-Run Model
		But in the short run, firms are willing to accumulate or decumulate inventories, while holding prices constant.
		When a firm faces increased demand for its product, it doesn't know whether the increase is permanent or temporary or whether it is specific to the firm or generalized across all firms in the industry.
		Now that we have discussed the underpinnings of the short-run model, let's see how it works in response to various shocks.
	www.ilstu.edu /~cemushr/ECO105/srmodel.htm (1067 words)

	The IS/MP Model
		The IS/MP Model replaces the LM curve in the IS/LM Model with a monetary policy (MP) curve and changes the vertical axis from the nominal interest rate to the real interest rate.
		These changes allow the IS/MP Model to focus on monetary policy in terms of the rate of inflation instead of the price level.
		The IS/MP Model presented here follows closely the details in "Keynesian Macroeconomics without the LM Curve," by David Romer in the Journal of Economic Perspectives (Spring, 2000).
	www.econmodel.com /classic/ismp.htm (208 words)

	Heart Rate Monitor Ratings, Heart Rate Monitor Watches
		Accuracy is given the greatest weight in the ratings, and models are tested by comparing each heart-rate monitor to a portable electrocardiograph for each user during a fifteen-minute workout.
		They've tried all kinds of models in the toughest conditions imaginable, and though their requirements for a good monitor are more stringent than the average person's, these folks know what they're talking about.
		This short article recommends the Polar F11, but no testing details are divulged, so we're not sure if this model was field-tested.
	www.consumersearch.com /www/health_and_fitness/heart-rate-monitors/reviews.html (1043 words)

	[No title] (Site not responding. Last check: 2007-09-16)
		There has been much discussion about consumer confidence in the past year, but it might not be immediately obvious how we can model it in the Keynesian framework.
		One approach is to assume that consumption depends not only on net income and the expected real interest rate, but also on an index of consumer confidence, which we denote with z: EMBED Equation.3 , where dc/dz>0 (i.e.
		Using the algebraic form of the IS-LM model, show the effect of an increase in consumer confidence on income and the nominal interest rate (i.e.
	www.fiu.edu /~thompsop/money/problems/keynesian_model_problems_short.doc (383 words)

	Derivatives pricing models without programming - SciComp Inc
		Seemingly minor variations in term sheets can require new models of the underlying equity, interest rate, or credit processes and new numerical algorithms to deal with them.
		Spanning the range from short rate models, to multi-factor LIBOR market models, to exotic proprietary models, SciFinance makes the job easy.
		From vanilla exotics to the most complex derivatives, SciFinance allows limitless modeling capability for rapidly modeling equity, foreign exchange and commodity derivatives.
	www.scicomp.com /derivativesmodeling/asset (463 words)

	Pricing interest rate derivatives without programming - SciFinance
		SciFinance models can be created by simply modifying one of hundreds of model templates provided with the system or by writing a model specification comprised of arbitrary partial differential equation (PDE) or stochastic differential equation (SDE), numerical algorithms and the use of key words.
		SciCMD models are state-of-the-art pricing and risk models comparable to those found on the desks of traders and risk managers within Tier-1 financial organizations.
		Like SciFinance, SciCMD supports the modeling of any financial instrument that can be priced using a PDE or SDE and the deliverable may include a ready-to-use Excel add-in or C/C++ source code pricing library.
	www.scicomp.com /derivativesmodeling/pricinginterestratederivatives/?source=GoogleAdWords (380 words)

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