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Investments glossary

Hull-White Model


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Let me tell you something that we Israelis have against Moses. He took us 40 years through the desert in order to bring us to the one spot in the Middle East that has no oil!

— Golda Meir

The Hull-White model is a single-factor interest model used to price derivatives. The Hull-White model assumes that short rates have a normal distribution and that the short rates are subject to mean reversion. Volatility is likely to be low when short rates are near zero, which is reflected in a larger mean reversion in the model. The Hull-White model extends the Vasicek Model and Cox-Ingersoll-Ross (CIR) model.

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