Concepedia

Hull-white Model

The Hull-White Model is a one-factor interest rate model in the class of short-rate models that extends the Vasicek model by allowing time-dependent parameters to fit the initial term structure of interest rates exactly.

60

Publications

2.9K

Citations

96

Authors

86

Institutions

Publications per year

2017–2026

9

Variants

Hull-white One-factor Model

Parents

Publications

60

Long memory in continuous‐time stochastic volatility models

Fabienne Comte, Éric Renault · Mathematical Finance · 1998 · 772 citations

, , +17

BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES

Hélyette Geman, Marc Yor · Mathematical Finance · 1993 · 581 citations

, , +17

On the geometry of the term structure of interest rates

Damir Filipović, Josef Teichmann · Proceedings of the Royal Society A Mathematical Physical and Engineering Sciences · 2004 · 113 citations · Full text

, , +16

MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS

Sylvain Corlay, Joachim Lebovits, Jacques Lévy Véhel · Mathematical Finance · 2013 · 84 citations

, , +15

Extension of stochastic volatility equity models with the Hull–White interest rate process

Lech A. Grzelak, Cornelis W. Oosterlee, Sacha van Weeren · Quantitative Finance · 2009 · 78 citations

, , +17

1–5 of 60

Authors

96

  1. LA
    Lech A. Grzelak

    Delft University of Technology, Netherlands

    6 publications · 222 citations

    6

    h-index

  2. CW
    Cornelis W. Oosterlee

    Delft University of Technology, Netherlands

    5 publications · 207 citations

    5

    h-index

  3. EM
    Elias M. Stein

    Princeton University, United States

    3 publications · 76 citations

    3

    h-index

  4. JT
    Josef Teichmann

    ETH Zurich, Switzerland

    3 publications · 152 citations

    3

    h-index

  5. JC
    John C. Hull

    University of Toronto, Canada

    3 publications · 74 citations

    3

    h-index

1–5 of 96

Institutions

86

  1. University of Toronto

    Toronto, Canada

    5 h-index

    10 publications

    195 citations

  2. Delft University of Technology

    Delft, The Netherlands

    5 h-index

    7 publications

    338 citations

  3. Princeton University

    Princeton, United States

    4 h-index

    4 publications

    189 citations

  4. Centrum Wiskunde & Informatica

    Amsterdam, The Netherlands

    3 h-index

    3 publications

    154 citations

  5. ETH Zurich

    Zurich, Switzerland

    3 h-index

    4 publications

    66 citations

  6. Ohio University

    Athens, United States

    3 h-index

    3 publications

    76 citations

  7. Sorbonne Université

    Paris, France

    3 h-index

    3 publications

    1.4K citations

  8. University of Bari Aldo Moro

    Bari, Italy

    2 h-index

    2 publications

    50 citations

1–8 of 86

Venues

  1. SSRN Electronic Journal

    Repository · 12 publications · 213 citations

    12

    h-index

  2. Mathematical Finance

    7 publications · 1.6K citations

    7

    h-index

  3. Applied Mathematical Finance

    6 publications · 219 citations

    6

    h-index

  4. The Journal of Fixed Income

    2 publications · 60 citations

    2

    h-index

  5. The Journal of Computational Finance

    2 publications · 25 citations

    2

    h-index

1–5