What is two factor hull-white model?
The Two-Factor Hull-White model was proposed initially by John Hull and Al- lan White in 1990, the primary purpose being to model interest rate movements. It uses the no-arbitrage condition or risk neutral pricing, to calculate the dy- namics of the short rate r, it is still popular in the market today.
What is hull-white model used for?
The Hull-White model is a single-factor interest model used to price interest rate derivatives. The Hull-White model assumes that short rates have a normal distribution and that the short rates are subject to mean reversion.