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| Model de Hull-White× | Marc HJM× | |
|---|---|---|
| Camp | Finances quantitatives | Finances quantitatives |
| Família | Regression model | Regression model |
| Any d'origen≠ | 1990 | 1992 |
| Autor original≠ | John C. Hull and Alan White | David Heath, Robert Jarrow, and Andrew Morton |
| Tipus≠ | Interest Rate Model | Interest Rate Framework |
| Font seminal≠ | Hull, J., & White, A. (1990). Pricing interest-rate-derivative securities. Review of Financial Studies, 3(4), 573-592. DOI ↗ | Heath, D., Jarrow, R. A., & Morton, A. (1992). Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuation. Econometrica, 60(1), 77-105. DOI ↗ |
| Àlies | Extended Vasicek, Generalized Vasicek | Forward Rate Model, No-Arbitrage Drift Condition |
| Relacionats | 4 | 4 |
| Resum≠ | 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. | The Heath-Jarrow-Morton (HJM) framework (1992) is a general no-arbitrage approach to modeling the entire term structure of forward rates. Unlike short-rate models, HJM works directly with forward rates f(t,T) and specifies their volatility; the drift is then determined by arbitrage constraints. This flexibility enables multi-factor modeling and accurate calibration to swaption matrices. |
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