Hull-White Model

Hull-White Model

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Description

Please note that the content of this book primarily consists of articles available from Wikipedia or other free sources online. In financial mathematics, the Hull-White model is a model of future interest rates. In its most generic formulation, it belongs to the class of no-arbitrage models that are able to fit today's term structure of interest rates. It is relatively straight-forward to translate the mathematical description of the evolution of future interest rates onto a tree or lattice and so interest rate derivatives such as bermudan swaptions can be valued in the model. The first Hull-White model was described by John C. Hull and Alan White in 1990. The model is still popular in the market today.show more

Product details

  • Paperback | 52 pages
  • 152 x 229 x 3mm | 91g
  • Chrono Press
  • United States
  • English
  • 6136684101
  • 9786136684109