The analysis and calibration of a multi-factor hull-white model.
Chee, Geok Kee.
Lim, Ang Guan.
Date of Issue2001
College of Business (Nanyang Business School)
This dissertation presents the formulation of a general n-factor Hull-White model based on a certain specification of forward rate volatility functions within the HJM model, its calibration to obtain the best-fit model parameters and a correlation analysis to explain the multi-factors effects on the forward rate dynamics.
Nanyang Technological University