The Hull-White model

#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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📱 Social media
/ forsstrom-niklas
niklasopf.github.io/

[@user-fh9gv2zk2r]

Great work mate! Keep it up!

[@niklasopf]

Thank you very much!

[@alexontheweb12341]

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!

[@SzTz100]

Hi Niklas, great video.

[@andychan9585]

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]

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]

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...?'...