Comparer des méthodes

	Modèle de Hull-White	Modèle de marché LIBOR
Domaine	Finance quantitative	Finance quantitative
Famille	Regression model	Regression model
Année d'origine	1990	1997
Auteur d'origine	John C. Hull and Alan White	Alan Brace, Dariusz Gatarek, and Marek Musiela
Type	Interest Rate Model	Interest Rate Model
Source fondatrice	Hull, J., & White, A. (1990). Pricing interest-rate-derivative securities. Review of Financial Studies, 3(4), 573-592.	Brace, A., Gatarek, D., & Musiela, M. (1997). The market model of interest rate dynamics. Mathematical Finance, 7(2), 127-155.
Alias	Extended Vasicek, Generalized Vasicek	BGM Model, LMM
Apparentées	4	4
Résumé	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 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.