Comparer des méthodes

	Modèle de marché LIBOR	Modèle de Hull-White
Domaine	Finance quantitative	Finance quantitative
Famille	Regression model	Regression model
Année d'origine	1997	1990
Auteur d'origine	Alan Brace, Dariusz Gatarek, and Marek Musiela	John C. Hull and Alan White
Type	Interest Rate Model	Interest Rate Model
Source fondatrice	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.
Alias	BGM Model, LMM	Extended Vasicek, Generalized Vasicek
Apparentées	4	4
Résumé	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.