en     ru     jp
 
 
private banking
private banking
private banking
private banking
private banking
private banking
private banking
     
 
Home
      
Knowledge Base
      
Equity Derivatives and Structured Products Glossary
      
Hull-White model
       
 
Back

Hull-White model

 Search definitions     
  Search  

Hull-White model
An extension of the Vasicek model for Interest rates, the main difference being that Mean reversion is time-dependent. Both are one-factor models. The Hull-White model was developed using a trinomial lattice, although closed-form solutions for European-style options and Bond prices are possible.
Posted by  Privatebanking.com
 
  Back  
  Print  
  Email  

 

private banking
private banking
private banking
private banking
Get Adobe Flash Player to view the media
FlashPlayer required to view the media
private banking
private banking

 
Home News Library Newsletters Event Calendar Advertise About Contact FAQ
Privacy Policy     Terms of Service
 

©