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Browsing Treballs d'estudiants by Subject "Hull-White"

Browsing Treballs d'estudiants by Subject "Hull-White"

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  • Alvarez Avamilano, Hugo; Sacchi Córdova, Riccardo; Señaris, Tomás (2022-06)
    The purpose of this project is to calibrate the Hull-White model using data on at-the-money payer swaptions and Artificial Neural Networks (ANN) for 100 different combinations of expiries (T0) and tenors (Tn – T0). The ...

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