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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.

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Brigo & Mercurio Section 3.3

Brigo & Mercurio, Interest Rate Models, 2nd ed.