Lecture 08Brigo & Mercurio Section 3.3
Hull–White Model
Studying the Hull–White extended Vasicek model: time-dependent drift, exact initial curve fitting, affine bond pricing, zero-coupon bond options, caps and floors, Jamshidian’s decomposition, trinomial tree construction, Arrow–Debreu prices, and discrete curve calibration.
Lecture Video
Text Coverage
Brigo & Mercurio Section 3.3
Brigo & Mercurio, Interest Rate Models, 2nd ed.