Questions tagged [hullwhite]
120 questions
3
votes
1 answer
Calibrating Hull-White 1 Factor
I have been trying to learn HW1F on my own, out of nothing more than genuine curiosity during my twilight years, and I'm confused on the issue of calibrating. I don't know why, but all the research papers seem to be missing something, or there's…
JoeBass
- 93
- 1
- 9
3
votes
1 answer
Hull-White formula on wikipedia, correct?
The distribution for the short rate in Hull-White model on Wikipedia is:
But the same equation in Damiano's Interest Rate Models - Theory and Practice is:
Q: I don't see how the formulas for the expectation are related. The formula in the book has…
SmallChess
- 2,265
- 2
- 19
- 30
1
vote
1 answer
Hull White 1 Factor Formulas with Time Dependent Variables
In John Hull's "Options Futures and Other Derivatives" I see that bond prices in Hull White 1 Factor model are specified as the following:
$P(t,T) = A(t,T)e^{-B(t,T)r(t)}$
where
$B(t,T) = \frac{1 - e^{-a(T-t)}}{a}$
$lnA(t,T) =…
JoeBass
- 93
- 1
- 9
1
vote
1 answer
Hybrid Models - Hull white with Heston / SchobelZhu / BS
I was looking at literature and found that for hybrid models, most of the literature only gives hybrid models where the volatility of the interest rate process(e.g Hull White) is constant.
Is there a way to generalize this to a deterministic time…
Benedict
- 326
- 1
- 6
-1
votes
1 answer
Hull White Cap/Floor calibration
I have a problem and I hope someone could help me.
I calibrated the Hull-White model to Caps and Floors from t=0 so the bond prices are equivalent to todays term structure.
See: Hull-White zero-coupon bond price does not depend on the…
Christian M
- 53
- 7