Computational Reconstruction of the Volatility Term Structure in the General Hull–White Model

Computational Reconstruction of the Volatility Term Structure in the General Hull–White Model

Volatility recovery is of paramount importance in contemporary finance. Volatility levels are heavily used in risk and portfolio management. We employ the Hull–White one- and two-factor models to describe the market condition. We computationally recover the volatility term structure as a piecewise-l...

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Bibliographic Details
Main Authors: Slavi G. Georgiev, Lubin G. Vulkov
Format: Article
Language:English
Published: MDPI AG 2025-01-01
Series:Computation
Subjects:
Hull–White model
implied volatility
inverse problem
computational reconstruction
market measurements
Online Access:https://www.mdpi.com/2079-3197/13/1/16
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https://www.mdpi.com/2079-3197/13/1/16

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