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Reproduction Example 1 of Generalized Procedure for Building Trees
In a recent (2014) paper John Hull and Alan White demonstrate a generalized method for the construction of short rate trees. Keen to understand the model we tried to reproduce the results of the first...
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Generalized Procedure for Building Short Rate Trees in Excel / VBA
In their 2014 paper John Hull and Alan White derive generalized method for the construction of short rate trees. This generalization is interesting as it allows for one tree (or lattice) construction...
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Generalized Procedure for Building Short Rate Trees in Excel / VBA using...
In a previous we blog we reproduced example 1 of the 2014 paper John Hull and Alan White “Generalized Procedure for Building Short Rate Trees”. In the paper the authors derive a generalized method for...
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Theta : A Test for Short Rate Model Lattice
While short rate models have lost ground to libor market models for valuation of (complex) interest rate derivatives, they remain popular for Asset and Liability Management. As a result you may find...
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Review of Lattice Construction Methods
Just before year end we put out our paper, titled "Review of Lattice Construction Methods"! This paper extends the generalized procedure for building trees for short rates by Hull & White. A...
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