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Published in:
The Vasicek Model Read chapter Read first chapter

2004 | OriginalPaper | Chapter

The Hull and White Model

Author : Simona Svoboda

Published in: Interest Rate Modelling

Publisher: Palgrave Macmillan UK

Included in: Professional Book Archive

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The Vasicek [50] and CIR [18] models, studied in Chapters 1 and 2 respectively, allow all interest rate contingent claims to be valued in a consistent manner, but involve unobservable parameters and do not provide a perfect fit for the current interest rate term structure.

previous chapter The Ball and Torous Model
next chapter The Black, Derman and Toy One-Factor Interest Rate Model
Metadata
Title
The Hull and White Model
Author
Simona Svoboda
Copyright Year
2004
Publisher
Palgrave Macmillan UK
Book
Interest Rate Modelling

Print ISBN: 978-1-349-51732-9

Electronic ISBN: 978-1-4039-4602-7

Copyright Year: 2004

DOI
https://doi.org/10.1057/9781403946027_7