We suggest a maximum likelihood estimation method for the popular Hull–White interest
rate model. Our method uses a time series of yield curves to estimate model parameters …

In this paper, we analize a novel approach for calibrating the one-factor and the two-factor
Hull–White models using swaptions under a market-consistent framework. The technique is …

In the summer of 1991, the first issue of The Journal of Fixed Income was published. More
than 900 articles have been published in the journal since then, educating market …

In this article, we propose an alternative approach for pricing bond options and swaptions
under the two-factor Hull-White model that differs from existing models used to evaluate …

In this article, different calibration approaches for short-rate models are explored in a
negative interest rate environment. We focus on the use of swaptions for calibration …

In the summer of 1991, the first issue of The Journal of Fixed Income was published. More
than 900 articles have been published in the journal since then, educating market …

In this article, the authors provide a closed-form solution for defaultable bond options under
a two-factor Gaussian model for risky rates. The key feature of the proposed stochastic …

Typically, implied volatilities for defaultable instruments are not available in the financial
market since quotations related to options on defaultable bonds or on credit default swaps …

The transition from interbank offered rates (IBOR) to the new risk-free rates, and in particular
the adoption of the backward-looking approach in place of the forward-looking one, affects …

In this paper is proposed a 2 factor structural PDE model of pricing puttable bond with credit
risk and derived the analytical pricing formula. To this end, first, a 2 factor structural (PDE) …