2015-10-01から1日間の記事一覧

ハル・ホワイトの三項木

Deriving the alpha variable where alpha=R-R* is non-trivial. Here, R* is the rate where the long-term mean, theta/a, is 0. The differential equation derived for alpha by subtracting dR* from dR is: d(alpha) = (theta-a*alpha)dt Theta is der…