The Hull-White Model
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.
KeywordsInterest Rate Call Option Spot Rate Discount Bond Interest Rate Derivative
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