The two-factor Hull-White (2-HW) model is a famous stochastic model that describes the instantaneous short rate. It has functional qualities required in various practical purposes as in Asset Liability Management and in Trading of interest rate derivatives. The 2-HW is actually a special case of...

Negative interest rates are present in various marketplaces since mid-2014, following the negative interest rate policy (NIRP) adopted by the European Central Bank in order to lift the economic growth (and, therefore, the inflation). However, this policy involves difficulties for market...

Since the 2007 financial crisis, many central banks adopted policies to lower their interest rates, whose dynamics can not be captured using classical models. Recently, Meucci and Loregian (2016) proposed an approach to estimate nonnegative interest rates using the inverse-call transformation....

The generation of yield curves is performed in many contexts, e.g. for the valuation capital requirement (under banking and insurance regulation frameworks ) as well as the pricing of the financial contracts. The famous Vasicek one-factor model can be applied for such a purpose. It plays the...

The two-additive-factor Gaussian model G2 (which encompasses the famous twofactor Hull-White model) is a stochastic model which describes the instantaneous short rate dynamic. It has functional qualities required in various practical purposes as in Asset Liability Management and in Trading of...

Despite the suggestion made by investment banks and brokerage firms for private investors to substitute one or all part of their stock investment by the associated option, the real benefit obtained from dealing with an option rather than with its underlying stock remains to be understood. Using...

Benchmark models for the term structure and dynamic of the interest rate, having the instantaneous rate as the only state variable, were introduced by Vasicek (V) and Cox-Ingersoll-Ross (CIR). Then the measure of a zero-coupon bond price change with respect to any change of the short-term...

Hedging under a parallel shift of the interest rate curve is well-known for a long date in finance literature.However the situation is inaccurately formulated such that the obtained result is very questionable. Among the inconveniences which may be raised are the following: the time-passage is...