Skip to main content

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

ByMarcus Scheffer, and 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.

Marcus Scheffer

Mario Zacharias

Contact us