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| Model Hull-White× | Vrednovanje bez rizika× | |
|---|---|---|
| Područje | Kvantitativne financije | Kvantitativne financije |
| Obitelj | Regression model | Regression model |
| Godina nastanka≠ | 1990 | 1979 |
| Tvorac≠ | John C. Hull and Alan White | John Harrison and David Kreps |
| Vrsta≠ | Interest Rate Model | Fundamental Principle |
| Temeljni izvor≠ | Hull, J., & White, A. (1990). Pricing interest-rate-derivative securities. Review of Financial Studies, 3(4), 573-592. DOI ↗ | Harrison, J. M., & Kreps, D. M. (1979). Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory, 20(3), 381-408. DOI ↗ |
| Drugi nazivi | Extended Vasicek, Generalized Vasicek | Risk-Neutral Measure, Q-Measure |
| Srodne | 4 | 4 |
| Sažetak≠ | 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. | Risk-neutral valuation (1979) is the fundamental principle that derivative prices equal the expected payoff discounted at the risk-free rate, computed under a risk-neutral probability measure (Q-measure). This principle, formalized by Harrison and Kreps, eliminates the need to estimate risk premia and is the foundation of modern derivatives pricing. |
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