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Hull-White Interest Rate Model Overview by IslaCanela is a document available to read on EtoBox.
The Hull-White interest rate model is described by a stochastic differential equation where the short rate follows a mean-reverting process. The model can be solved to obtain an expression for the short rate over time as well as a formula for bond prices. The model parameter θ is determined uniquely by the term structure of interest rates at time 0. Black
- Author
- IslaCanela
- Language
- EN