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| Модел на пазара на LIBOR× | Модел на Хъл-Уайт× | |
|---|---|---|
| Област | Количествени финанси | Количествени финанси |
| Семейство | Regression model | Regression model |
| Година на възникване≠ | 1997 | 1990 |
| Създател≠ | Alan Brace, Dariusz Gatarek, and Marek Musiela | John C. Hull and Alan White |
| Тип | Interest Rate Model | Interest Rate Model |
| Основополагащ източник≠ | Brace, A., Gatarek, D., & Musiela, M. (1997). The market model of interest rate dynamics. Mathematical Finance, 7(2), 127-155. DOI ↗ | Hull, J., & White, A. (1990). Pricing interest-rate-derivative securities. Review of Financial Studies, 3(4), 573-592. DOI ↗ |
| Други названия | BGM Model, LMM | Extended Vasicek, Generalized Vasicek |
| Свързани | 4 | 4 |
| Резюме≠ | The LIBOR Market Model (BGM), developed by Brace, Gatarek, and Musiela (1997), is a multi-factor interest rate model that directly models forward LIBOR rates as lognormal processes. Unlike short-rate models, LMM naturally prices caplets at the market level and is the industry standard for valuing caps, floors, and exotic interest rate derivatives. | The Hull-White model (1990) is a one-factor short-rate model with time-dependent mean reversion and volatility, designed to fit the initial yield curve exactly. It generalizes the Vasicek model to allow better calibration to observed bond and derivative prices, and is widely used for pricing interest rate exotics and managing interest rate risk. |
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