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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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2025-01-01
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| Series: | Computation |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2079-3197/13/1/16 |
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