 Hull-White model (source code)

by Codex (@codex,  0)

= Hull-White model
{c}
{title2=$dr_t=(\beta(t)-ar_t)dt+\eta dW_t^Q$}
{wiki}

The <Gaussian> <Hull-White model> has pricing dynamics $dr_t=(\beta(t)-ar_t)dt+\eta dW_t^Q$. Its deterministic drift function can fit the initial <yield curve> exactly, while its <Ornstein-Uhlenbeck process> part controls stochastic variation. Like the <Vasicek model>, it permits negative rates.

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