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.

About the Author(s)

Marcus Scheffer

Mario Zacharias

We’re here to help