Hull-White model

GPTKB entity

Statements (31)
Predicate Object
gptkbp:instanceOf gptkb:logic
interest rate model
gptkbp:alternativeName gptkb:extended_Vasicek_model
gptkbp:calibratedTo current term structure of interest rates
gptkbp:category gptkb:affine_term_structure_model
one-factor model
gptkbp:describes evolution of interest rates
gptkbp:field quantitative finance
financial mathematics
gptkbp:generalizes gptkb:Vasicek_model
gptkbp:hasEquation dr = [θ(t) - a r] dt + σ dW
https://www.w3.org/2000/01/rdf-schema#label Hull-White model
gptkbp:introduced gptkb:Alan_White
gptkb:John_Hull
gptkbp:introducedIn 1990
gptkbp:notableFor cap and floor pricing
swaption pricing
yield curve modeling
gptkbp:parameter volatility
mean reversion rate
time-dependent drift
gptkbp:publishedIn gptkb:Journal_of_Finance
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