Compară metode
Examinează metodele selectate una lângă alta; rândurile care diferă sunt evidențiate.
| Modelul Hull-White× | Evaluarea neutră față de risc× | |
|---|---|---|
| Domeniu | Finanțe cantitative | Finanțe cantitative |
| Familie | Regression model | Regression model |
| Anul apariției≠ | 1990 | 1979 |
| Autorul original≠ | John C. Hull and Alan White | John Harrison and David Kreps |
| Tip≠ | Interest Rate Model | Fundamental Principle |
| Sursa seminală≠ | 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 ↗ |
| Denumiri alternative | Extended Vasicek, Generalized Vasicek | Risk-Neutral Measure, Q-Measure |
| Înrudite | 4 | 4 |
| Rezumat≠ | 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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