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In this chapter, we extend the study of short-rate models beyond the Vasicek framework by exploring the Hull–White extended Vasicek model and its hybrid variations, including the Black–Karasinski model.

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Advanced Interest Rate Models: Hull–White/Black–Karasinski and Callable Bond Pricing Using QuantLib

  • 章节

  • 发表日期：

    2025年

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  • Aaron De La Rosa

摘要

In this chapter, we extend the study of short-rate models beyond the Vasicek framework by exploring the Hull–White extended Vasicek model and its hybrid variations, including the Black–Karasinski model.