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 straight-forward 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.

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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 straight-forward 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.
  • 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（）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。
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  • Hull 2006:657–658
  • Hull06
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  • Hull 2006:657–658
  • Hull06
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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 straight-forward 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.
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  • Hull-White model
  • ハル・ホワイト・モデル
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