Σύγκριση μεθόδων

	Μοντέλο Αγοράς LIBOR	Μοντέλο Hull-White
Πεδίο	Ποσοτική Χρηματοοικονομική	Ποσοτική Χρηματοοικονομική
Οικογένεια	Regression model	Regression model
Έτος προέλευσης	1997	1990
Δημιουργός	Alan Brace, Dariusz Gatarek, and Marek Musiela	John C. Hull and Alan White
Τύπος	Interest Rate Model	Interest Rate Model
Θεμελιώδης πηγή	Brace, A., Gatarek, D., & Musiela, M. (1997). The market model of interest rate dynamics. Mathematical Finance, 7(2), 127-155.	Hull, J., & White, A. (1990). Pricing interest-rate-derivative securities. Review of Financial Studies, 3(4), 573-592.
Εναλλακτικές ονομασίες	BGM Model, LMM	Extended Vasicek, Generalized Vasicek
Συναφείς	4	4
Σύνοψη	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.