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Hull-White Model/Ushahidi
Rekodi ya ushahidi wa mbinu

Hull-White Model

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.

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Hull-White One-Factor Interest Rate Model
Rekodi ya mbinu ya kiajenda · regression-model / quantitative-finance
  • Hull, J., & White, A. (1990). Pricing interest-rate-derivative securities. Review of Financial Studies, 3(4), 573-592. · DOI 10.1093/rfs/3.4.573
  • Brigo, D., & Mercurio, F. (2006). Interest Rate Models: Theory and Practice (2nd ed.). Springer-Verlag. · URL
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