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gptkbp:instanceOf
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gptkb:logic
gptkb:interest_rate_model
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gptkbp:alternativeName
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gptkb:extended_Vasicek_model
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gptkbp:calibratedTo
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current term structure of interest rates
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gptkbp:category
|
gptkb:affine_term_structure_model
one-factor model
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|
gptkbp:describes
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evolution of interest rates
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gptkbp:field
|
quantitative finance
financial mathematics
|
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gptkbp:generalizes
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gptkb:Vasicek_model
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gptkbp:hasEquation
|
dr = [θ(t) - a r] dt + σ dW
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|
gptkbp:introduced
|
gptkb:Alan_White
gptkb:John_Hull
|
|
gptkbp:introducedIn
|
1990
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gptkbp:notableFor
|
cap and floor pricing
swaption pricing
yield curve modeling
|
|
gptkbp:parameter
|
volatility
mean reversion rate
time-dependent drift
|
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gptkbp:publishedIn
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gptkb:Journal_of_Finance
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gptkbp:relatedTo
|
gptkb:Black-Karasinski_model
gptkb:Cox-Ingersoll-Ross_model
|
|
gptkbp:stochasticProcess
|
gptkb:Ornstein-Uhlenbeck_process
|
|
gptkbp:type
|
short-rate model
|
|
gptkbp:usedFor
|
risk management
pricing bonds
pricing interest rate derivatives
|
|
gptkbp:bfsParent
|
gptkb:Black-Derman-Toy_model
|
|
gptkbp:bfsLayer
|
6
|
|
https://www.w3.org/2000/01/rdf-schema#label
|
Hull-White model
|