Sammenlign metoder

	Hull-White-modellen	Libor Market Model
Fagfelt	Kvantitativ finans	Kvantitativ finans
Familie	Regression model	Regression model
Opprinnelsesår	1990	1997
Opphavsperson	John C. Hull and Alan White	Alan Brace, Dariusz Gatarek, and Marek Musiela
Type	Interest Rate Model	Interest Rate Model
Opprinnelig kilde	Hull, J., & White, A. (1990). Pricing interest-rate-derivative securities. Review of Financial Studies, 3(4), 573-592.	Brace, A., Gatarek, D., & Musiela, M. (1997). The market model of interest rate dynamics. Mathematical Finance, 7(2), 127-155.
Alias	Extended Vasicek, Generalized Vasicek	BGM Model, LMM
Relaterte	4	4
Sammendrag	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 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.