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Finance[HullWhiteModel] - create Hull-White interest rate model
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Calling Sequence
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HullWhiteModel(theta, alpha, sigma)
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Parameters
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theta
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observed term structure of interest rates
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alpha
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speed of mean reversion (see description)
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sigma
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volatility parameter (see description)
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Description
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The HullWhiteModel command creates a Hull-White model with the specified parameters. Under this model the short rate process  has the following dynamics with respect to the risk-neutral measure.
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Compatibility
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The Finance[HullWhiteModel] command was introduced in Maple 15.
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Examples
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![T := [0.8e-1, .24, .48, 1.0, 2.0, 5.0, 10.0, 30.0]](/support/helpjp/helpview.aspx?si=8903/file01640/math93.png)
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![T := [0.8e-1, .24, .48, 1.0, 2.0, 5.0, 10.0, 30.0]](/support/helpjp/helpview.aspx?si=8903/file01640/math96.png)
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![r := [0.3e-1, 0.32e-1, 0.35e-1, 0.4e-1, 0.45e-1, 0.5e-1, 0.53e-1, 0.55e-1]](/support/helpjp/helpview.aspx?si=8903/file01640/math100.png)
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![r := [0.3e-1, 0.32e-1, 0.35e-1, 0.4e-1, 0.45e-1, 0.5e-1, 0.53e-1, 0.55e-1]](/support/helpjp/helpview.aspx?si=8903/file01640/math103.png)
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Here is the corresponding short-rate tree.
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References
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Brigo, D., Mercurio, F., Interest Rate Models: Theory and Practice, New York: Springer-Verlag, 2001.
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Glasserman, P., Monte Carlo Methods in Financial Engineering, New York: Springer-Verlag, 2004.
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Hull, J., Options, Futures, and Other Derivatives, 5th. edition, Upper Saddle River, New Jersey: Prentice Hall, 2003.
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Vasicek, O.A., An Equilibrium Characterization of the Term Structure, Journal of Financial Economics, 5 (1977), pp 177-188.
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