The Hull-White model

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#hull-white #interrestrate #quant #brownian #motion
This video explains the Hull-White model, which is a short rate model whose distinguishing features are a mean reversion component and an ability to fit accurately to today's term structure.
📚 References
• Implementing Derivative Models: www.amazon.com/Implementing-D...
• Interest Rate Models - Theory and Practice: link.springer.com/book/10.100...
• Real Options Valuation: www.amazon.de/Real-Options-Va...
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Опубликовано:

8 июл 2024

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Комментарии : 7

@alexontheweb12341 Год назад

Remark on an error: at 10:38´, on the graph, the expectation of r(t)= theta / alpha and not Sigma/alpha… Thanks for your video!

@user-fh9gv2zk2r Год назад

Great work mate! Keep it up!

@niklasopf Год назад

Thank you very much!

@SzTz100 4 месяца назад

Hi Niklas, great video.

@andychan9585 2 месяца назад

Thanks for your work. I still do not have a clue how the yield curves are generated? I understand that there is a deterministic solution for any time point t, so I calculate rt from t = 0 to say t = 2 for a 30 day rate, and do the same calculation for 60 days, 3 month, 9 month ... 1 year, 2 year. Each one rate will have its evolution path, and I collect corresponding yields from individual path to construct a future yield curve. Is my understanding correct ?

@Edgypaw Год назад

Sadly, the video can only be used for its formulas. Nikolas jumps from one idea to the other without any visible plan or connection, and assumes math fluency: the viewer should recognize what {r(t) | F_s} stands for without any explanation.

@War4Skills Год назад

You cannot possibly try to make a video on the Hull-White model and expect that he also explains every basic concept of math and statistics like 'what is a Normal distribution...?'...