Efficient and Exact Simulation of the Hull-White Model

6 Pages Posted: 2 Aug 2013

Date Written: August 1, 2013

Abstract

Abstract. This paper describes how an efficient and exact Monte-Carlo simulation of the Hull-White model could be performed. For that purpose the joint conditional distribution of the short interest rate and the discount factor is derived. The proposed approach can be straightforward extended to the multifactor Gaussian affine term structure models.

Keywords: Hull-White Model, Monte-Carlo simulation, exact simulation, interest rate model

JEL Classification: G00, G10, G12, G13

Suggested Citation

Ostrovski, Vladimir, Efficient and Exact Simulation of the Hull-White Model (August 1, 2013). Available at SSRN: https://ssrn.com/abstract=2304848 or http://dx.doi.org/10.2139/ssrn.2304848

Vladimir Ostrovski (Contact Author)

Talanx Asset Management ( email )

Charles-de-Gaulle-Platz 1
Cologne, DE NRW 50679
Germany

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