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"Our tree is actually a tree of the short-term interest rate. The average direction in which the short-term interest rate moves depends on the level of the rate. When the rate is very high, that direction is downward; when the rate is very low, it is upward."
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"If you lead me astray, then my wanderings will bring me to my destination."
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Personal Development
"Look ahead, because life is before you, not behind you, or else you stumble!"
Author Name
Personal Development
"The life of people who do not know their destiny becomes an infinite chain of activities that in fact do not actually mean anything for their success."
Author Name
Personal Development
"Don't go in the opposite direction, locate your calling."
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Personal Development
"You can't look back - you just have to put the past behind you, and find something better in your future."
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Personal Development
"The knowledge of "Where am I going?" sometimes depends on the faithfulness in little things."
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Personal Development
"A wind that blows aimlessly is no good to anyone."
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Personal Development
"Whatever I 'align'' myself with are the very things that will create a 'line' into my future."
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Personal Development
"We must be focused on the goal that God has revealed to us."
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Personal Development
"In order to answer the question "Where am I going?" you must possess decisiveness."
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Personal Development
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"We concluded that you cannot rely on delta hedging alone. It sounds simplistic to say that now, but back then, this was the sort of thing people were only just beginning to realize."
People
"The real challenge was to model all the interest rates simultaneously, so you could value something that depended not only on the three-month interest rate, but on other interest rates as well."
Challenge
"We started giving presentations at practitioner conferences in 1986, and since then all of our derivatives research has been stimulated by contact with practitioners."
Giving
"The HoLee model was the first term structure model. I remember reading their paper soon after it was published and as it was fairly different from many of the other papers that I had read, I had to read it quite a few times. I realized that it was a really important paper."
First
"Yes, our tree has an interesting shape. The center branches reflect the shape of the zero curve. When extreme parts of the tree are reached the branching pattern changes to accommodate the mean reversion."
Extreme
"The problem with interest rates are that you are not modeling a single number, you are modeling a whole term structure, so it is a sort of different type of problem."
Interest
"In the interest rate area, traders have for a long time used a version of what is known as Black's model for European bond options; another version of the same model for caps and floors; and yet another version of the same model for European swap options."
Time
"Our research led on to other things, such as the fact that exchange rates are not lognormally distributed."
Fact
"Our starting point then was trying to find a way to incorporate mean reversion into the HoLee model."
Trying
"I guess any simple idea that is really good will catch on quickly."
Idea
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