About: Hull–White model

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In financial mathematics, the Hull–White model is a model of future interest rates. In its most generic formulation, it belongs to the class of no-arbitrage models that are able to fit today's term structure of interest rates. It is relatively straightforward to translate the mathematical description of the evolution of future interest rates onto a tree or lattice and so interest rate derivatives such as bermudan swaptions can be valued in the model. The first Hull–White model was described by John C. Hull and Alan White in 1990. The model is still popular in the market today.

Attributes	Values
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rdfs:label	Hull-White-Modell (de) Hull–White model (en) ハル・ホワイト・モデル (ja) 赫爾-懷特模型 (zh)
rdfs:comment	In der Finanzmathematik wird unter dem Hull-White-Modell ein spezielles Momentanzinsmodell zur Beschreibung von Zinsstrukturen verstanden. Es handelt sich um eine Erweiterung des Vasicek-Modell. Das Modell wurde erstmals 1990 von den beiden Mathematikern John C. Hull und beschrieben. (de) In financial mathematics, the Hull–White model is a model of future interest rates. In its most generic formulation, it belongs to the class of no-arbitrage models that are able to fit today's term structure of interest rates. It is relatively straightforward to translate the mathematical description of the evolution of future interest rates onto a tree or lattice and so interest rate derivatives such as bermudan swaptions can be valued in the model. The first Hull–White model was described by John C. Hull and Alan White in 1990. The model is still popular in the market today. (en) 数理ファイナンスにおいて、ハル・ホワイト・モデル（英: Hull-White model）とは、将来の利子率のモデルの一つである。同モデルは、将来の利子率の時間的変動の数学的記述を比較的単刀直入に樹形または格子に変換でき、そのため、バミューダ・オプション（オプション期間中に複数の期日を設定し、この期日のうちのいずれかでのみ権利を行使できるオプション）の様な金利オプションを同モデルで評価することができる。ハル・ホワイト・モデルの原型は、ジョン・ハル（John Hull）とアラン・ホワイト（Alan White）により 1990年に記述された。同モデルは、今日の市場でも依然として良く使われている。 (ja) 金融數學中、赫爾-懷特模型（英：Hull-White model）、是利率模型的一種。此模型中、為了把未來利率的變動變換成數學上較簡潔的，將利率當作（選擇權存續期間中設定複數個期間，在這些期間可以執行的選擇權），以此便能將利率的變動價值以選擇權模評價型來評價。赫爾-懷特模型的原型是由和在1990年發表的，此模型今日仍經常實際在市場上使用。 (zh)
dcterms:subject	Interest rates Financial models Fixed income analysis Short-rate models
Wikipage page ID	1224131 (xsd:integer)
Wikipage revision ID	1065846297 (xsd:integer)
Link from a Wikipage to another Wikipage	Prentice Hall Monotonic function Vasicek model Upper Saddle River, New Jersey Interest rate Interest rate cap and floor Interest rate derivative Jamshidian's trick Numeraire Interest rates Ornstein–Uhlenbeck process Convex function Damiano Brigo Log-normal distribution Calibration Financial models John C. Hull (economist) Lattice model (finance) Fixed income analysis Exotic derivatives Fabio Mercurio Normal distribution Forward measure Yield curve Put option Regression toward the mean Itô's lemma Cox–Ingersoll–Ross model Short-rate models Alan White (economist) Black–Karasinski model Black–Scholes model Swaption Mathematical model Short-rate model Financial mathematics Fundamental theorem of arbitrage-free pricing Discount bond Interest rate caps/floors Bermudan swaption Monte-Carlo simulation
Link from a Wikipage to an external page	https://ssrn.com/abstract=2837229 https://ssrn.com/abstract=3527091 https://archive.org/details/optionsfuturesot00hull_429%7Curl-access= https://archive.org/details/optionsfuturesot00hull_429/page/n682 https://arxiv.org/abs/0901.1776 https://papers.ssrn.com/sol3/papers.cfm%3Fabstract_id=2304848 https://web.archive.org/web/*/www.angelfire.com/ny/financeinfo/Diplomnew.ppt https://web.archive.org/web/20110723221130/http:/www.letianwang.net/Fixed_Income/09_Hull-White_Model.htm http://ssrn.com/abstract=434860
sameAs	Hull–White model Hull–White model Hull–White model Hull–White model Hull–White model Hull–White model
dbp:wikiPageUsesTemplate	dbt:Cite_book dbt:Reflist dbt:Harvcol dbt:Bond_market dbt:Stochastic_processes
has abstract	In der Finanzmathematik wird unter dem Hull-White-Modell ein spezielles Momentanzinsmodell zur Beschreibung von Zinsstrukturen verstanden. Es handelt sich um eine Erweiterung des Vasicek-Modell. Das Modell wurde erstmals 1990 von den beiden Mathematikern John C. Hull und beschrieben. (de) In financial mathematics, the Hull–White model is a model of future interest rates. In its most generic formulation, it belongs to the class of no-arbitrage models that are able to fit today's term structure of interest rates. It is relatively straightforward to translate the mathematical description of the evolution of future interest rates onto a tree or lattice and so interest rate derivatives such as bermudan swaptions can be valued in the model. The first Hull–White model was described by John C. Hull and Alan White in 1990. The model is still popular in the market today. (en) 数理ファイナンスにおいて、ハル・ホワイト・モデル（英: Hull-White model）とは、将来の利子率のモデルの一つである。同モデルは、将来の利子率の時間的変動の数学的記述を比較的単刀直入に樹形または格子に変換でき、そのため、バミューダ・オプション（オプション期間中に複数の期日を設定し、この期日のうちのいずれかでのみ権利を行使できるオプション）の様な金利オプションを同モデルで評価することができる。ハル・ホワイト・モデルの原型は、ジョン・ハル（John Hull）とアラン・ホワイト（Alan White）により 1990年に記述された。同モデルは、今日の市場でも依然として良く使われている。 (ja) 金融數學中、赫爾-懷特模型（英：Hull-White model）、是利率模型的一種。此模型中、為了把未來利率的變動變換成數學上較簡潔的，將利率當作（選擇權存續期間中設定複數個期間，在這些期間可以執行的選擇權），以此便能將利率的變動價值以選擇權模評價型來評價。赫爾-懷特模型的原型是由和在1990年發表的，此模型今日仍經常實際在市場上使用。 (zh)
gold:hypernym	Model
prov:wasDerivedFrom	wikipedia-en:Hull–White_model?oldid=1065846297&ns=0

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