Salīdzināt metodes

	Hull-White Model	Modelis SABR
Nozare	Kvantitatīvās finanses	Kvantitatīvās finanses
Saime	Regression model	Regression model
Izcelsmes gads	1990	2002
Autors	John C. Hull and Alan White	Patrick S. Hagan
Tips	Interest Rate Model	Interest Rate Model
Pirmavots	Hull, J., & White, A. (1990). Pricing interest-rate-derivative securities. Review of Financial Studies, 3(4), 573-592.	Hagan, P. S., Kumar, D., Lesniewski, A. S., & Woodward, D. E. (2002). Managing smile risk. Wilmott Magazine, 1, 84-108.
Citi nosaukumi	Extended Vasicek, Generalized Vasicek	Stochastic Volatility Model
Saistītās	4	4
Kopsavilkums	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 SABR (Stochastic Alpha-Beta-Rho) model is a stochastic volatility framework introduced by Hagan et al. in 2002 for valuing interest rate derivatives. It captures the smile effect in implied volatility through correlated Brownian motions and has become industry standard for swaption and caplet pricing.