The Hull-White Model

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

Abstract

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.

Keywords

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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