השוואת שיטות

	מודל הול-ווייט	תנודתיות מקומית (Dupire)
תחום	מימון כמותי	מימון כמותי
משפחה	Regression model	Regression model
שנת המקור	1990	1994
הוגה השיטה	John C. Hull and Alan White	Bruno Dupire
סוג	Interest Rate Model	Equity/FX Model
מקור מכונן	Hull, J., & White, A. (1990). Pricing interest-rate-derivative securities. Review of Financial Studies, 3(4), 573-592.	Dupire, B. (1994). Pricing with a smile. Risk Magazine, 7(1), 18-20.
כינויים	Extended Vasicek, Generalized Vasicek	Deterministic Volatility Function, DVF
קשורות	4	4
תקציר	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.	Dupire's local volatility model (1994) is a deterministic framework that extracts a term and strike-dependent volatility function from market option prices. Unlike constant volatility, local volatility perfectly fits the observed implied volatility smile and is implemented via finite difference methods for European and American option pricing.