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One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities

Published online by Cambridge University Press:  06 April 2009

John Hull  and
Alan White
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Abstract

This paper compares different approaches to developing arbitrage-free models of the term structure. It presents a numerical procedure that can be used to construct a wide range of one-factor models of the short rate that are both Markov and consistent with the initial term structure of interest rates.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 28 , Issue 2 , June 1993 , pp. 235 - 254
Copyright
Copyright © School of Business Administration, University of Washington 1993

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