A comparative study of the 1-Factor Hull White and the 𝐺2++ interest rate model

  • Print
  • Connect
  • Email
  • Facebook
  • Twitter
  • LinkedIn
  • Google+
By Marcus Scheffer, Mario Zacharias | 26 November 2018
This research focuses on a comparison of two calibration approaches and the respective underlying short rate models: the 1-Factor Hull White model and the G2 + + model. The authors investigate the model behaviors of both, implement both model approaches, calibrate the models to current data, and analyze the goodness of fit.