Abstract
In this note many trivial (and some advanced) calculations in the Hull-White interest rate model are performed. Especially the theta function is derived. This function ensures that prices of zero coupon bonds in the model fit market values of zero coupon bonds. In addition, a section explaining how to estimate the model using maximum likelihood is included.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
