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Hull-White Model/Evidence
Method evidence record

Hull-White Model

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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Source record

Citations copied verbatim from the method’s source record. No claim-level verification is inferred from them.

Hull-White One-Factor Interest Rate Model
Taxonomic method record · regression-model / quantitative-finance
  • Hull, J., & White, A. (1990). Pricing interest-rate-derivative securities. Review of Financial Studies, 3(4), 573-592. · DOI 10.1093/rfs/3.4.573
  • Brigo, D., & Mercurio, F. (2006). Interest Rate Models: Theory and Practice (2nd ed.). Springer-Verlag. · URL
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Related methods

Generated from the method graph and shown as machine-suggested relations — no evidence claim is inferred.

Same method familyHJM Frameworkmachine-suggested · Relational suggestion, not evidence.Same method familyLibor Market Modelmachine-suggested · Relational suggestion, not evidence.Same method familyRisk-Neutral Valuationmachine-suggested · Relational suggestion, not evidence.Same method familySABR Modelmachine-suggested · Relational suggestion, not evidence.

Evidence status

Sources recorded, not reviewed

Bibliographic sources are present. Claim-level evidence review has not been performed.

Sources

2 recorded citations, copied from the method source record.

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