Módszerek összehasonlítása

	Libor Piaci Modell	Hull-White modell
Tudományterület	Kvantitatív pénzügy	Kvantitatív pénzügy
Módszercsalád	Regression model	Regression model
Keletkezés éve	1997	1990
Megalkotó	Alan Brace, Dariusz Gatarek, and Marek Musiela	John C. Hull and Alan White
Típus	Interest Rate Model	Interest Rate Model
Alapmű	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.
Alternatív nevek	BGM Model, LMM	Extended Vasicek, Generalized Vasicek
Kapcsolódó	4	4
Összefoglaló	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.