Porównaj metody
Przeglądaj wybrane metody obok siebie; wiersze, które się różnią, są wyróżnione.
| Model Hull-White'a× | Wycena w mierze neutralnej względem ryzyka× | |
|---|---|---|
| Dziedzina | Finanse ilościowe | Finanse ilościowe |
| Rodzina | Regression model | Regression model |
| Rok powstania≠ | 1990 | 1979 |
| Twórca≠ | John C. Hull and Alan White | John Harrison and David Kreps |
| Typ≠ | Interest Rate Model | Fundamental Principle |
| Źródło pierwotne≠ | 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 ↗ |
| Inne nazwy | Extended Vasicek, Generalized Vasicek | Risk-Neutral Measure, Q-Measure |
| Pokrewne | 4 | 4 |
| Podsumowanie≠ | 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. |
| ScholarGateZbiór danych ↗ |
|
|