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Hull White Term Structure Simulations in Python

Опубликовано: 04 Февраль 2024
на канале: Statistics and Risk Modeling
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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.
I simulated the Hull White interest rate term structure model in Python and compared simulated average value and the analytical solution.
You are welcome to provide your comments and subscribe to my YouTube channel.

The Python code is uploaded into https://github.com/AIMLModeling/HullW...

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