The Hull-White Model

  • Antoon Pelsser
Part of the Springer Finance book series (FINANCE)


Given the tools we have developed in the previous chapters, we want to analyse some interest rate models which have a rich analytical structure.4 In Chapter 4 we proved that only normal models where the spot interest rate is a linear or quadratic function of the underlying process y have normally distributed fundamental solutions. Hence, only these models are expected to have a rich analytical structure.


Hull Posit Volatility 


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Copyright information

© Springer-Verlag London 2000

Authors and Affiliations

  • Antoon Pelsser
    • 1
  1. 1.Department of FinanceErasmus UniversityRotterdamThe Netherlands

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